This idea of prison seems to be based upon the opinion that banditry is evil and not just a different, more chaotic style of play.
If a bandit came in and stole from you, then killed you after you surrendered and then burnt down your shop then that would be evil.
If a bandit attacks you, overwhelms your defences and forces you to surrender then steals a percentage of your wealth and leaves, it's a chaotic action and there is a system in place (reputation) that punishes this accordingly as well as gives you the option to place a wanted poster for that bandit.
I believe GW have stated that you can reissue wanted posters once they've been fulfilled so in essence, if you have the funds, you can make life very difficult for the bandit who robbed you.
Also, as Kobold Cleaver mentioned, you should have guards and defenses (strong box or vault) if you are dealing with valuable, high-risk materials and goods.
In a game where players are going to be the "bad guys" as well as the "good guys" there has to be viable ways to play different styles but there also needs to be a system which balances the risk-reward of each playstyle and I believe the GW reputation system and wanted/reward system will provide the balance you are after.