I'm always of the mindset in these situations that the clientele in a premium lounge is generally not who you would expect to be pilfering items from bags. Remember, to get in the CA, you need to either be S+, traveling in Acela F, holding a United Club membership, or having spent a relatively high number of AGR points for a day pass. Those qualifications screen out most petty thieves.
That said, I would not leave valuable electronics (laptops, iPads, expensive cameras, etc.) unattended. So, when traveling, I usually leave my rollaboard with clothes, etc. and keep my laptop either in a backpack or a small computer briefcase that I carry around.
I have used the bag check near gate A and had no problems. I seem to recall about $6 (plus tip) to store the bag for several hours. However, I did last use them in about 2007, so it's possible things have gone downhill.