My skate bag would never fit in a locker since it is a locker itself! I have books, paperwork, training tools, etc. that I haul around with my skates. I often need to get something from my bag, so I like having it accessible, rink-side. I never leave my skate bag in the lobby or changing areas; I drag it into the rink and leave it in a corner or against a wall, out of traffic. I wish my kids would do the same, especially when they leave their ipods in there.
I usually take my purse on the ice if I bring one. I put it in a hockey box or (at publics) on top of the music station. If I'm at a rink I don't know, I usually splurge on a locker for my valuables or just lock them in the glove box/trunk of the car. Otherwise, I put my wallet and keys in my skate bag; I keep my phone and ipod with me on the ice when I coach.
I do have a luggage lock that I've used during public sessions to secure a compartment on my skate bag, but it's just a deterrant. If they really want to get in, they can just slice open the fabric or break the zipper.
I have heard of two thefts from zuca bags. One girl told her angry mother that someone opened the bag to steal her puffy jacket; another said her freestyle card was stolen. In the first incident, I think she actually left the jacket on a bench or didn't zip the bag and someone picked it up in error. The bags and those black, puffy jackets, look alike, so it could have been an honest mistake.
The freestyle card theft could have been done out of spite, or she might have misplaced it herself. The card had her name on it; no one else could use it and a stranger wouldn't know what it was, so it wouldn't have been taken for its value. It's also possible that she used her last punch and the clerk threw it away.
Here's a wacky suggestion: what if you bought a little toiletries bag with a hook to take on the ice for your valuables and some necessities? (Tissues, bandaids, music, etc.) You could hook it over the top of the glass in a hockey box so it's visible and only accessible to those on the ice.
I guess just buying a lock for your bag is easier, though. You could make a loop from a zip tie, put it around the frame support, then use the lock to secure one of the little outside zuca pockets. Again, you're just discouraging an opportunist, anyone who really wants to steal from you will make more of an effort.
ETA: I know the zucas have a zipper on the door flap that can be locked, but the little side pouches are more discreet to use for something small. Most skaters don't use the inner pockets and pouches well, so finding something small turns into a major search.