That's not how Prey works. It doesn't 'sense' who is using it. You need to go to your online control panel and turn Prey OFF. If the MacBook comes up stolen, maybe it goes missing in luggage or it's gone from your car, THEN you go to your online control panel and turn it ON. That's when Prey will start taking pictures, sounding the alarm, etc.
FWIW, I wouldn't enable the alarm features. You've got a better chance of recovering it if the culprick.. I mean culprit.. doesn't know the device is being traced. Simply turn on the webcam feature that takes pictures of the thief every so often, enable the feature that shows you what they are doing (you might catch them logging into facebook or something, which can help the authorities track them) and of course, track the notebook. Bring that information to the police, print out the most recent report and bring it to them. I would even give them the login information of your Prey account if it ever came to that, so they can track the machine at will.
Then, instead of a freaked out thief dumping it in a dumpster and running, there's a good chance they'll get caught red-handed sitting in their underwear using your computer when the police come knocking! In many states, the value of the MacBook Pro puts it in the category of 'Grand Theft' which is usually a felony. It's odd that they are commonly stolen laptops, considering the theft of a cheap Windows laptop can be a misdemeanor, but in some areas, the theft of a more expensive computer like a Macbook can result in prison time!
Anyway, hope that answers your question!
EDIT: I should also mention, as I think it might be your problem. Notice those big red words that say "Even if the device is not marked missing, alarm will sound if armed?" Yeah they meant it! Turn all of the alarm functions OFF (Alarm, Alert, Lock, Secure) until you need them.