The prox tags are not for security purposes. Yes that's right they make a system less secure.
They are to stop false alarms from people forgetting there codes, that is all they are for really, hence why all monitored systems come with tags.
As for being burgled, there are lots of things to take into account, even with an alarm you may get burgled if the risk is considered worth it, its unlikely you would get burgled by a chancer if you have an alarm.
The issue revolves around your many sets of keys and you have prox tags on them all, personally if your system isn't monitored(paying for police response) I would take the prox tags off the alarm and use a code instead, leave the prox tags on your keys though.
If a burglar can see it they may take it, vehicles are certainly getting stolen to order at the minute, so bunches of keys all in one place that's easy to get makes it a target and probably worth while as I am guessing the vehicles aren't cheap rubbish??
A comment made earlier about changing codes or tags when something goes missing, by the time they realise its gone missing and get back to their property it could be too late, its not unheard of for people to get bags stolen, the car gets stolen they drove to the property with the sat nav set to drive home, pull up use the keys help themselves and drive off.
The problem with the likes of the enforcer, is most people have this on the entry route on a property, as the whole unit is together, the burglar has X number of seconds to disable it from getting in via the entry route, far better to have a remote keypad, on the entry route than the whole panel.