I guess you have to have a certain amount of trust when it comes to taking your bike un-boxed on Amtrak. I've never locked my bike on Amtrak when un-boxed, but tend to sit near the bike, though between stops it is totally o.k. to move around, get a snack, etc.
On my train trips across the U.S. (a long time ago) before I cycled, I would leave my backpack in the luggage rack which is away from seat and never had anything stolen.