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If you look at this pic you will notice an Allen Key type lock that has to be removed by an Allen Key tool before removing the center cap to access the lug nuts. This is similar on my new wheels.

I would imagine that with a bit of effort the Allen Key lock might be abled to be removed prior to getting to the lug nuts but with the Ford alarm going off it might not be that easy.

It would appear that any would be thief would require having the right size Allen Key available before removing the lug nuts.