> but in what world would the drives, and not the NAS itself, be stolen?

Not to defend Synology, but popping a drive out of the NAS so that it won't be noticed (or noticed much later) is a much easier way to steal data than carrying off the whole NAS. I assume they're guarding against the kind of scenario where an employee steals steals drives rather than ski-masked thieves breaching the office and making off with the NAS.