If you keep your window shut and your door locked when you are out then for someone to steal anything there will be a nice smashed door or window as evidence of the theft and you will have no problems in claiming off of your insurance.
A locked door keeps both the honest honest, and most casual theives at bay. They know there will be an unlocked door somewhere else down the corridor and they just keep trying until they find one. Make sure it isn't yours.
Most colleges have fairly good to high security on the main doors to the blocks, CCTV monitored and recorded, and your average low-life theif stands out a mile amongst typical Durham students and being caught is not what they want at all.
At Hild Bede you will either have a room in a locked block with sturdy doors on each entrance, or you will be in the main block where you walk past the security/reception desk AND then enter a code to get to the rooms.
The university buildings are not Fort Knox, but they are secure enough that if you keep your door locked and your window shut when, criminals will try elsewhere.