It's kind of hard to call the boss and tell him, "hi, sorry to wake you, but nothing just happened."
I understand what you are saying, and I'm really not making light of it, it is just hard for a manager to call the owner to report that nothing happened. A 'man wearing a ski mask', would be cause to call the police, and ask for a prowl car to drive by. And depending on how you have stressed it to your manager, perhaps he should have called , but it is just hard to be the guy in charge, at the location, and call to report... nothing. And even you say, you are, in a way, glad he didn't call.
Years ago, I was the night operations manager for a trucking company, so naturally, anything that went wrong occurred in the middle of the night. The owner was always telling us how he wanted his managers to step up and handle things, make decisions, solve the problems, and not always call him at 2:30 am with things he pays us to take care of. That was fair, he payed us well, it was just he was a second guesser. No matter how you solved a problem, it was the wrong thing, and you got the "why didn't you call me lecture", then when you did call, you got the "this is what I pay you to handle" speech. So you ended up weighing things on the, 'is this important enough to get yelled at over the phone, or minor enough to listen to him whine tomorrow morning?'
And then there were the things that your manager faced, the 'problem' was important enough to inform you, just calling you, right then, isn't going to help solve anything. I'd tell you about it later, also. It is just difficult to call the boss, and tell him that a robbery, or attempted robbery did not happen.
And if you want them to call you in cases like this that is fine. I don't have any problem with you wanting to know about things like this. It is up to you to find a way to get this across to them, I'm just trying to take the managers side, and explain why I might not have call either.