hmm. Stealth is great until there's nothing out of the ordinary. I think if any such popup is showing up, a reasonably educated person would understand that it's from a 3rd party service and not native windows. And if that person is a thief, he'll assume it's from some tracking service (or some virus).
I feel you could offer it as an option to users. They don't have to insert a message with the lock. But I'd like to put a message like "This computer is locked. Kindly return it to so-and-so address or email at so-and-so address".