My mate had his stolen the same way, he was on his way back to reading from bristol!
Had a planet-x stolen from the bike carrdidge. Apparntly the train company wouldn't pay out.
Also, train companys don't like you locking your bikes up as it holds them up (although you could get in the carridge, close the door so the train can depart then walk through the guards room, but thats against their rules.....).