sorry to hear about your troubles. it makes me mad and it did not even happen to me. i wish you luck and hopefully it never happens again. in my opinion there are 2 ways to look at this. 1: it should have never happened. your equipment, not theirs. atleast ask. no one has any respect anymore.
2: people now a days will re tal e ate (i can't spell) and if you " trick lock it up", you might open yourself more to vandelism. the tractor was returned unharmed (as much as you know.) in a twisted way that shows some care. atleast they didn't steal it or anything on it. if they wanted to take it, they would have got away with something in my opinion (chains!). it is good you reported it to the police and if it were me, i would let my neighbors know that too. they might have "borrowed" it, but you don't like that and will report all such instances to the police and will be watching closer. atleast then, your nieghbors will know where you stand and charges could be filed if caught. might deter them more in the future.
sometimes it is better to get the flys with honey then with a fly swatter. shame it has to be this way, but next time the tractor might not end up in that good of shape.
there is a few instances of this happening to other people i know of. i do not agree with it, but just to give you one example, we were working along the road removing and replacing old road signs. it was early spring and some areas were still frozen and where we were at the time, this sign anchor was frozen in the ground and we did not have the tools to get it out. my friend on the crew knew this guy that lived near by and guess what was parked near the sign we were working at? a front end loader. my friend thought the guy he knew that owned the front end loader "wouldn't mind" so he just hopped in the loader quick, started it up, pulled the sign anchor, and went right back to park it. thing is, this was an older loader. my friend could not get the loader to shut off. had to call the owner, who came down and showed my friend how to shut it off. pull back up on the throttle pedal! he was not too happy with my friend, but at the time did not say much of it. (i found out later on he was mad

, which i agree.) had something been wrong with that loader that my friend did not know about, there goes that guys investment. and that is not even the worst of it. my friend should have just not have done it and respected it that way. but just to show you an example of a seeming harmless intention, gone wrong.
i would do everything you said about the cameras and such if you want. might help you sleep better. but usually now a days one trick usually gets another trick right back, especially from people who would just "borrow" without asking in the first place. i would tell every neighbor that "if they did use it, thanks for putting everything back mostly, but please just ask next time if they need the help. and that the police have been notified and it is on record and they are alearted to this ongoing issue" maybe a more diplomatic way to handle it, that might work out better in the wrong run.