I’ve never heard of it. Heard of police losing their guns in a scuffle, but not a private person. There was a case last year where the person was robbed of their OC gun at gun point. A grab and run seems pretty risky from the criminals perspective. Certainly rare enough.
A few have said they’ve heard of it but admit that it’s rare. Banglist threads are one of my favorite subjects here and in 17 years this is the first story I have seen about OC gun-grabbing.
A man could drive himself nuts worrying about every possibility under the sun. However you choose to carry a firearm take it as a serious responsibility and otherwise keep the worry to a minimum.