I've never had, or heard of any problem with luggage being pinched although I'm sure some members have tales of such events. Depending on where you are sat you can quite often 'keep an eye' from your seat.
It's very very rare, but it does happen. I suspect it's more common if your luggage has disappeared to find that someone has picked it up in error because they have a very similar bag (even if that's not the one they have on this trip). In my many years of rail travel I have seen one instance and aftermath of what was probably a theft (not a GWR train) and have come across a handful of incidents where the wrong bag was picked up ... and the initial panic was followed by the bagging restored to its rightful owner within 24 hours.
Personally I ask "what would I do if I lost this" before leaving something on a distant rack, and only leave things which wouldn't be significantly horrendous if they were nicked. I then have to remember to actually collect my bag!