Good point. I had the Specialized locked with a heavy chain through the frame and both wheels when I was a grad student, and someone tried to dismantle the headset, presumably with an eye toward steeling the fork. This was during the middle of the day, too. I got on and started riding away that evening before looking down and noticing that the cap was missing and I could see down into the fork. Fortunately they either didn't have the right Allen wrench to take the stem off, or were scared off by someone walking by. I kept it in my office after that.

I had already considered this when thinking about whether I should consider a more expensive frame, but it's a good point regarding unnecessarily expensive components as well.