Not really sure how this is a security issue. I'm guessing most thieves don't know how to get into Recovery mode or operate CWM, and I don't believe you can delete Nandroid backups through CWM either - so even if your data was erased, as long as CWM is available you could restore from a Nandroid if you got your phone back.
Also, if you want a security issue, according to giantpune you can access the filesystem through ADB whether or not the phone is unlocked and delete stuff that way. A thief doesn't have to reboot the phone or unlock it to screw it up. And all of this applies on both Custom ROMs and the stock ROM. In fact, it's probably universal for all Android devices, but that's just my guess. Though it's not really an issue if your phone isn't stolen in the first place.
Fortunately, there are also apps that will completely lock down your phone (not sure about the rebooting part or the ADB exploit, how they're handled if at all), and allow you to track the device's location online and do other crazy things.
All in all, not really a problem if your phone doesn't get stolen in the first place. And unless they know the location of your Nandroid backups, you should still be fine.