Good point Krystine. The kind of lock boxes commonly used in my area can be accessed from anywhere using the listing agent's cell phone or computer. I agree that even if the perp took the box, the info should still be accessible.
For those who have never paid much attention to how these boxes work, it stays attached to the door knob or whatever it is attached to. When the agent uses his or her phone or electronic key to open the box, a small drawer on the very bottom of the box comes all of the way out, completely separate from the big part that stays on the door. The key or keys are inside. You leave the small drawer separate until it is time to lock up then replace the key and put the drawer back in.
It isn't easy to get the lockbox off of the door completely unless you know how. It is not the same as obtaining the key.
I think it's more likely that the little bottom drawer is missing, not the whole lock, unless another agent or someone who has assisted an agent is the perp.