I can't speak specifically to Millbrae but there are regular smashed window & catalytic thefts at the East Bay BART parking lots. I don't hesitate to park in the suburban lots if I am spending a day in the city and want to avoid rush hour traffic across the bridge. But overnight just seems to be tempting fate, and the cost savings maybe not worth the risk (however small) of damage.

For <72 hours, SFO hourly lot quoting $108 v. $50 at Park SFO or Anza. I will probably just suck it up given the convenience factor, though maybe depends on traffic.