Sometimes, being able to lock something is a bad idea. People are used to seeing hard luggage in the usual places so I would lock them. I would not lock any soft luggage. That's just asking for someone to cut it open. There are hard tank bags that lock to the fuel ring but they look so flimsy I'd worry about tank damage when somebody decides it wouldn't be hard to pry the thing off. After all, if somebody went to the trouble of getting and locking a hard tank bag, there must be something valuable in it.
Then again, I wouldn't lock the doors on a rag top convertible. I would just make sure not to leave anything valuable in it.
When I rode with a tank bag, I'd take it in with me when I left the bike.