It's SOP and I don't think anyone's had an issue with their car being stolen in Europe yet, at least, I haven't read of one yet.
I think the chances are higher that your car gets stolen back home then in Europe.
5-2-08 e93-35 ED Montego w/Jade Grey, Step w/Paddles, PP, SP, CA, hot seats and iPod.Awaing re-delivery soon.
Debadged 330xi ED 11/14/05 Auto/Mystic Blue/Gray leather with Alum/PP/SP/CA/Fold-down rear seats/Alarm. Sold to Carmax on 6/7/08 with 50,624 miles on clock