1. The roomette doors lock from the inside, for, um, "private activities".
2. There are very few cases known of thieves stealing entire suitcases speculatively. (That's a big heavy thing to steal.)
3. To prevent opportunistic thieves from rifling through your luggage, lock your bags. Even a cheapie luggage lock seems to deter them.
4. If you've got something small which you can't lock up in a big bag -- like a laptop in a laptop case -- carry your laptop case with you when you leave the room.
5. If there are two of you in the room, you can take turns leaving the room. I only worry about carrying my laptop case if we're both heading to dinner.
On the subject of security in general:
It's a basic principle of security that you have to know what "attack profile" you are protecting against. You do different things depending on what you're trying to prevent. (By the way, the CIA is completely, utterly incompetent at this -- they have no idea who they're trying to protect against or what they're trying to prevent -- and as such it is probably the least secure "intelligence" operation in the known world. Complete waste of money...)
A determined attacker who is targeting you specifically can bypass any form of keys whatsoever. Lockpicking isn't terribly hard, and electronic locks are even easier to bypass than mechanical locks. Combination locks are better (but still mostly pretty easy). Doors are generally weak, windows are weaker, and walls are often almost as easy to go through as windows. For this, bank vaults are the only really secure design. If you're facing a determined thief who's targeting you personally, then short of a bank vault, it's permanent personal guards (and even these have their problems), or "wear it around your neck".
Sometimes the goal, then, is not to prevent a break-in, but simply to know that you've had a break-in. On Amtrak, that's pretty easy; you aren't generally gone from your room long enough to not *notice* that one of your bags is missing, at which point you can report it to the attendant, etc.
Often, however -- and typically for an Amtrak passenger -- the goal is to stop *opportunistic* theft -- people who aren't targeting you, but who are looking for "easy targets". For this purpose, having heavy suitcases with locks on them is quite sufficient; the opportunistic thief will immediately look elsewhere.