Yeah, it's all about not having the easiest house on the block to get into. Breaking a back window and walking in is easy, but having a key is even easier. Also easier to come up with a story if you're caught red-handed. And the neighborhood activity... yes, lots of eyes, but also totally normal for random people to be walking into random houses.
My worry probably comes from this... My husband's dad was a general contractor who used to take "extra" stuff from his projects to put in his own house, and he had a VERY loose definition of "extra." I wouldn't put it past someone like that who has worked on the house to go back and steal lighting fixtures, plumbing fixtures, etc. for their own house, or to sell, especially if they had some kind of beef with the developer, the real estate agents, etc. (it's a small town -- people know each other).
So... why DO "they" recommend changing the locks immediately after closing, even before you move into the house? Is it just sneaky advertising for locksmiths? Because I will admit that I may be overly cautious, and it does make sense that there's a lot more to protect once the people and the stuff are in the house!
But... problem solved! I mentioned it to our real estate agent, and he said yes, it's definitely important to change the locks right away. He volunteered to meet a locksmith at the house after closing. But maybe he just has a good friend who's a locksmith looking for business?! (And I still won't have proof that they've been changed, but one could drive oneself crazy thinking of all the "what ifs." At some point, I have to trust someone!)