The handing in keys at the front desk and picking them back up on return always struck me as insane. Hotel staff rarely verify the identity of the person returning. If you're lucky they recognize you from earlier but often the night staff is different and in any case the issue is not whether they recognize you, it's what they do if they don't recognize you.
Any hotel that has you return the key when you leave I simply treat like a youth hostel where anything valuable has to be carried with me at all times and never left in the room.
I'm not paranoid about people targeting me specially or attacking me but pickpockets and hotel room thieves are hardly exotic animals.