I find this strange, since you need badge access to get in, there's security cameras, the hard drive is encrypted, the OS is password protected, etc. It seems redundant.
It made me curious - what does your work let you bring in and bring out of the building?
Of course that person got fired. My client subsequently enacted the same type of policy you are asking about. The staff there know exactly what happened, so there is very good incentive to simply follow the policy - nothing that isn't outright owned by the company stays within the company after hours, and everything that is owned by the company has strict handling procedures.
Security happens in layers. If you leave an opening, someone will eventually exploit it.