In no particular order:
Folks, airport and airline personnel, making less in many instances than TSA personnel, have far more access to your belongings than the TSA personnel. If you're going to make assumptions on who has the most access to your belongings and the most to gain from stealing them, at least assume in the right direction. Scratch that, see below.
Report infractions, thefts, and complaints in writing. Especially the thefts. Report them to the appropriate entities: the airlines, the airports, the local police, and the TSA.
Be aware everyone will shift blame. Bureaucratically an easy thing, in that you cannot prove where anything occurred or by whom. Carry on, non the less. This is perhaps especially true of the local police, who will note that their jurisdiction cannot be proven. You'll arguably have more luck on the departure end of things, but the root word is "argue." And without a police report... Suffice it to say, police reports are helpful.
When you report it, do not report that, "the TSA stole something!" The TSA didn't steal anything. And even if a TSA employee did, you do not know that. You know that something is missing, and are assuming that theft is involved. You have no idea who stole it, assuming that it was theft. Just the facts... It will help you, not hinder you, to self-edit out the assumptions. The bureaucratic shuffle of responsibility loves when people make assumptions. Don't help them ignore you. Don't assume.
Unfortunately, citing TSA rules and regs to the TSA is an exercise in futility. They do not know them, by design. There's a book on hand, though... No, you may not see it. Most of them may not, either. The higher in rank, the more access to the rules. Again by design.
If you are speaking to TSA personnel in uniform, you are likely not speaking to someone with the authority to resolve your complaint; or a complete enough understanding of the rules - see above.
But... things are getting better. Slowly. Hopefully surely. In large part to interaction with federal officers, who in being trained to fly armed, have come head to head on numerous occasions with TSA personnel out of their depth and unaware of it; unaware even of their own rules, regulations, authorities, where they begin and end, etc. But that is another story.
TSA personnel aren't the only personnel at an airport with access to master keys, bolt cutters, tools, etc. They aren't even the only ones who are supposed to have access to them.
And if your stuff was stolen flying from MEXICO into the States... it is improbable that TSA, or any other US personnel, were involved.
I agree the whole thing is frustrating. For the money, the general public had better be convinced of their safety, because if they aren't, then the bad guys aren't, and its been and remains an expensive house of cards.
Better a 1,000 more FAMs than the army of TSA personnel, whatever they call themselves these days.
