I agree with you, in general.

Specifically, in this case, reporting to management is a very weak cause because the issues are soft.

The only hard issue is data stolen from the laptop or files modified etc.

So I would not report it to management, but I would go to your friendly IT support guys and very casually, in a low key fashion, tell them that something does not look right and could they please take a look. Technically speaking, the security training that you probably received when you were a new hire mandated such reporting to the IT. You are not mandated to report difficult coworkers to the managers, but you are mandated to report breaches of security, suspected data loss, etc. So - follow the rulebook. Go to IT.

If he actually stole the files off your computer and placed them on his WORK computer, the IT folks might be able to trace that. And then decide on the next steps based upon the outcome of that investigation.