I assume that your friends either have left or will soon leave Vegas. Having reported the theft to the police and hotel I would suggest that they also get a copy of the police report or at least the report number and the hotel manager's name. Then focus on mission critical - were passports stolen etc.

Then report the loss to anyone who might respond to a claim - travel insurance, homeowners etc. If they took full coverage from the car rental company I'd make that claim. Some credit cards might cover a loss of a purchased item.

Then write the hotel. Best Westerns are often independently owned so write the chain and the actual property owner. The parking lot may be independently managed - write them if it is. All are likely to deny any claim but you must make a demand.

Then, if the value is sufficient to be deemed worthwhile, call a lawyer and see if you can find one willing to pursue the claim (if they were local small claims would be an option). Everyone will tell you that it's your own fault if you leave bags visible or that there is a disclaimer that you park at your own risk etc etc etc. None of that means much. The law often disregards those facts notwithstanding what people will tell you on the internet. You will get the best advice from a Vegas lawyer who has experience with such claims.

Chasing video or criminal prosecution is a waste of time - other than to potentially document the theft which could prove useful.