It could be an optional security setting. Like the account registered as the owner can put a password protected setting that won't allow for the console to be turned on unless it's connected to the internet. Shouldn't really even be very hard to do. That said, I suppose thefts like this from homes are less frequent than stolen tablets or phones.
Idk... I'd certainly like to see some statistics on how many consoles a year are stolen. If the Xbox one has to "call home" periodically, then they should certainly be able to mark the unit as stolen and help authorities track it down. I agree that it should be an option in the security/privacy menu as some would turn this into a big issue that's only supposed to help the end-user.
AND!!!! Since Kinect will be a mandatory accessory that comes with the console, the police could activate said camera once the unit has been reported stolen/missing to help identify it's current location, and/or thieves using it. Perfect.
Personally i think it should be a setting controlled in the OS, but a function of the console's firmware.
Someone from the Entertainment division at Microsoft better be reading this. Plenty of opportunity here.