Hey, if it's got you paranoid, you could always buy one of these...
http://www.mplusgps.com/

I can't sell to you directly as I just design the product, however I could have one of my distributors contact you. You can wire them up to any sort of input you desire (including your existing car alarm) and have your car call, email, sms you etc as someone is screwing with your car.

However anyone who would try to slim-jim an XF isn't too smart anyway, it would be easier to just do it with a metal coat hanger in through the window... I don't even know if our cars can be slim-jimmed due to the pneumatic locking system.