Two things are worth considering:
1) Anglophone hijab wearers tend predominantly to be recently-migrated middle-class Muslim women. (Maintaining the 'traditional' lifestyle is actually fairly expensive and time-consuming, especially in the West, which pretty strongly discourages anything more elaborate than simple headscarves.) In general, immigrants' proclivity to crime closely follows economic standing - the more stable you are coming into a country, the less likely you are to wind up in a situation where high-visibility crime (e.g. theft/robbery as opposed to drugs and etc) is necessary or possible. In summary, the hijab is not particularly likely to be any kind of pressing security risk vis a vis any other item of clothing - there will occasionally be crimes committed by employing its concealment, but the same can be said about almost everything people see fit to wear.
2) Further, the veil itself - when you factor out the more specific and sectarian idea of hijab - is much less ideological and much more personal than most Westerners are aware of. While there are in fact specific theological reasons and justifications given for the wearing of elaborate coverture by women, the wearing of veils by Middle Eastern women is as consistent and unwavering as the wearing of trousers by Germanic men. (Both are well-attested in classical sources.) Because there is never a broad, bold line between culture and religion in practice, the upshot in this case is that coverture of the scalp and brow is not so much taken seriously as taken for granted by Middle Eastern women, especially those from more provincial or religious backgrounds. The removal of the veil is an intimate matter; it plays a role in both exhibitionism and assault, and whatever the ultimate intentions, mandating that middle eastern women remove their headwear before entering a store is roughly as tasteful and would be received more or less identically to asking anyone wearing a skirt to invert and tape it up before entering a store.
