I would not leave anything of value like a light that can be easily removed on the bike unattended. I purchase front lights where the light attaches to a mount and leave the mount on the bike. Rear lights also come with mounting brackets. Generally, I don't leave my bike unattended except to run in to get an iced latte. I take the lights with me but leave the seat bag since I can see the bike from inside. But there are enough rotten people out there that it's best not to take chances.

We have an employee only badged bike room at work. I leave my seat bag but not my lights on the bike. And I have a hefty Ulock. People leave bikes there unlocked or with the cheapest cable locks that you could probably cut with a nail clipper. I don't believe there are any cameras in the room. My fear is that the lock stops working and the room is accessible from the public parking area.

If you leave your bike unattended often, shop around for easily removable bags. Check out online stores for ideas (Performancebike, Nashbar, Jenson, etc).