We do something similar, not sure I will use the wheel lock when at a CG...but when it is parked in front of my house in a very urban area where Subarus and Hondas go missing daily the wheel lock is always on. I ordered a much cheaper option than the Brahma though, some crappy yellow thing on Amazon. I need to modify it a bit to make it actually fit though, as one side of the "hug" actually ends up resting on the tire and not the wheel, but also has a plate that covers the lug nuts. If nothing else it should prove to my insurance company that I did everything to try and prevent it from an unauthorized departure. TBD if I also add a SPOT tracker, but we likely will.
That MegaHitch is an impressive beast though, the first time I took it out of the box I understood what made it different than any other lock I've seen. Around here people deploy portable rechargeable grinders to steal bicycles, so I can only imagine the effort they may go through for a $50k trailer...though bicycles are easier to chop and hide.