Cycle computer locking on handlebars

I take mine off every time, but then I only use it for longer rides. For the commute I don't bother and just use Strava on the mobile.

I don't think the locking mechanism is meant to be an anti-theft device.  Considering the cost, and that it only takes a second to take off or put on, I'd take it off if you're going to be away from your bike.

One risk is that when you reinstall your cycle computer, it may not be as secure in its mount as it should be.

I imagine this won't be as much of a problem with cycle computers with quarter-turn mounts (Polar, Garmin), but I've lost a couple of Cat Eye cyclocomputers this way.  Cat Eye basically uses a sliding foot mechanism for its mounts, and you can very easily forget to push the foot all the way into the mount until it clicks into place.