I sometimes lock the bars, sometimes don't, no real rhyme or reason. I will admit that ever since I installed risers on it, I'm more reluctant to go full lock on the handlebars unless I have to-- don't have all that much cable slack to enjoy.
That said, I think locking the handlebars solves 99% of your potential theft problems (although it obviously does nothing to stop vandalism). If it's locked, you can't roll the Spyder onto a truck, and given its weight and bulk, it's a far more serious challenge to pick it up and carry it off (i.e., you'd need a *big* flatbed, you can't just panel van the thing).
Lastly, there's the relative uniqueness of the vehicle- you can't operate it without an electronic key, and you're unlikely able to part it out without getting caught, i.e. only BRP dealers service the Spyder, and stuff showing up on eBay gets flagged by a small community.
Bottom line: the Spyder is too much of a PITA for the casual motorcycle thief to steal, and too niche to be of value to the majority of professional thieves. Doesn't mean it can't get stolen, but I'd be far more worried about leaving a nice fully-dressed HD or Japanese sportbike out and about than the Spyder.
Nope, more worried about just your run-of-the-mill vandals messing with stuff/scratching/slicing, etc.