Maybe after so many failed login attempts it tries to autoconnect to unsecured wireless networks and e-mail you?
I don't know exactly what a thief would do to something like the Pandora. Probably try to get any personal info from the SD cards, then sell them.
If they can't get into the device itself, they'll probably just sell it to someone one way or another, possibly over eBay, possibly not.
I think I would leave a guest account open and have it try to message me behind their back somehow. Any sort of alert will probably just make the situation worse for the Pandora, since most people are assholes.