My BIL has a roll up with velcro on his truck. I don't like it, it takes longer to close the box, the part of the velcro that is along the bed will scratch you if you try to reach into the box to get something while wearing a t-shirt, and after a while the velcro collects junk in those little hooks and just doesn't hold well anymore.
I ordered my truck with a factory tri-fold and it's quick and easy to use it and also light enough to take it off by myself, I really like it.
As has been said, if someone wants to get in, they will, but here's what I think. Depending on a cover make/type, velcro could be peeled off and they could get in, tri-fold you can't get under it without breaking or cutting it. The petty thieves would rather peel off or try to get under the cover to get the stuff out as it's not immediately obvious whether it's an owner or a thief if it occured on a bnusy parking lot... If someone is cutting through the fabric to get in it obviously is theft. So just based on that I'd say the factory tri-fold offers a slightly batter protection from thieves.