I doubt that would damage the axles. My concern would be tread separation on the tires - they aren't made to move like that.
I am not a thief, but I don't understand how pulling it sideways would get it to release from the truck. And, if they were trying to steal it, and got the lock off, what stopped them from taking it?
I've heard of tires/wheels stolen at the ramp (my folks had that happen), but never the entire trailer.
2012 RAM 3500 Laramie Longhorn DRW CC 4x4 Max Tow, Cummins HO, 60 gallon RDS aux fuel tank, Reese 18k Elite hitch
2003 Dodge Ram 3500 QC SB 4x4 Cummins HO NV5600 with Smarty JR, Jacobs EB (sold)
2002 Gulf Stream Sea Hawk 29FRB with Honda EV6010