I've been thinking of how to 'secure' my phone's data again since I unlocked the bootloader... but this would be the way.
The feature request goes like this: Password protect the bootloader both for fastboot and getting into recovery (the option to start recovery should be password protected). A wipe is required in order to reset the password.
An additional and optional theft lock (along the lines of what the OP wants) would disable the password reset/wipe feature altogether, essentially bricking the phone if the password is unknown. Not exactly what I want (I just want my data to be safe), but should be easy enough to add both options if we have the code and can flash the SPL.
Obviously this is going nowhere if we can't flash the SPL, but there's no harm in putting this out there for Google to include in the next signed SPL.
Everyone should realize that unlocking the bootloader essentially puts all the data on your phone out there for anyone to grab without a password, given that they know a few things about fastboot/recovery. This is likely why Google forces a wipe when you originally unlock. We 'unlockers' should be given a way to get that security back.
This would be really great... an idea, if ever possible, to overcome the bricking phone by password being lost, is somehow emailing it to the registered google account... or maybe sending an sms to a known phone number that was registered before...