Untrue - yes, almost all alarms have the valet switch, but you must have the ignition turned turned to 'on' before they work. Meantime the alarm has already gone off from the breach, and you are on your way to the car, baseball bat in hand. I have a pager alarm, so if they are good enough to disable the alarm, get past my club lock, deactivate 2 kill switches and steal the car within the 10 seconds, then they get away with it. If they were still in the car when I got to it, I would be going to jail for breaking some knees and faces.
The whole point of an alarm is deterrence - hopefully they see the flashing light and decide it is not worth their trouble. I am very willing to bet that 99 times out of 100 if a car has an alarm the would-be thief won't even try.
Where was your car, and where you were you when they stole it?