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Agent is probably taking a story she heard and running it with her fears.
A gun safe is never a bad investment, in that it will at the very least cause the perp to spend more time in your home (if they're real greedy), increasing the likelyhood of them getting caught. Thieves don't like spending any more time in your home than they absolutely have to.
The alternative, as you've recently learned, is more easily stolen firearms on the street.

