Yeah that would definitely be creepy. I don't use valet protect, so can't answer your question. Would certainly be odd that it did that. I've never gotten erroneous notifications otherwise. I do have a geofence set up around my dealership and my indy so I get notified when the car leaves the property. Can't edit it currently, because the geofencing service is still not available again in the new Mercedes me connect app, but it's still working from before and I get the notifications. Never got one unless the car crosses in or out of the geofence.
I also don't keep my keys in the car in my garage. That seems like a bad idea. Garage break-ins happen. There are videos on YouTube that show how to use a wire hook to pull down the emergency release. It's easy to prevent with a zip tie, though. I also have a smart garage opener and get notifications on my phone whenever the garage door opens and closes. Combined with my overall smart home with alarm and smart locks I know when somebody unauthorized should enter.