Only thing hard about stealing on Siege in my opinion is finding people, honestly I find prodo more of a challenge, finding something uninsured and "Worth" stealing is much more difficult. Especially if you're puritanical and won't go the guild stealing or persuasion routes.
I've done both, that's my opinion, and others are welcome to have a different one. But personally I find Prodo stealing more of an adventure than Siege.. especially since not being able to recall or Sacred Journey sucks...