As DD mentioned above the TSA will cut your locks off so when coming into the United States you will need TSA approved locks. Theft is and would be my concern as well. Whether from a TSA employee or a baggage handler, etc. As for insurance on knives, talibongs, ginuntings I never use any. However, these items are easily replaceable. My shinken is insured through my homeowners policy at this time. For extra insurance contact your insurance agent for your house, car, etc. They can probably get you a good rider on your current policy with a good rate or your current policy may cover it already. Just make sure you estimate your value at true replacement cost ie. cost of shinken, shipping, etc. and your should be fine. There may also be a replacement value with the airline baggage as well as with your credit card. It is worrisome but really there is probably nothing to worry about. In recent years my checked on baggage have been searched almost every time but nothing has been taken.
Also tie the Sageo in a way so that you will know if it was tampered with. That way you can immediately clean it if someone opened it and touched the blade.