Sounds more like they're making you aware that you could be sued, not that they're the ones who would sue you. I.e., if a client's confidential information is on the laptop, and you leave the laptop where it's taken, then the client could also name you in the suit (in addition to the company) for their confidential information being leaked, if you're the one deemed to have been negligent.
1. Any confidential information on a laptop should be encrypted. If not, the company is negligent. Perhaps you could politely point this out to them, that even if it were stolen from you, the capability to keep that information out of someone's hands is ultimately very cheap & on them.
2. Don't leave valuables in plain site in your car (unless you live in my neighborhood, it's safe here). In a lot of areas, that is inviting crime. It's an easy target. And, it's a common target. How often do you hear of them breaking into cars that don't have valuable stuff visible? Not too often. So, if you're going to be making stops on the way home - gas station, grocery store, etc., just put the laptop in the trunk. Yes, it gets warm in the trunk, but not as hot as it does in a car. In the car, the greenhouse effect has much more of an effect since light passes through the glass. Your trunk isn't transparent.
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