Headrest, IMO, are much safer as far as theft goes. They are not invading into the cabin area drawing attention to themselves, and if so inclined, Im sure you could have an interior upholstery shop make you a quick set of color matched headrest covers that would slip over your headrest to make the screens invisible from the outside unless you were really, really intently looking to notice the headrest was covered, not just easily viewed big black screens from the outside of the car that can be seen from a distance and targeted for theft. Someone would have to be intently looking into your vehicle to discover headrest covers as long as they fit snug and are color matched
That big DVD player/screen unit sticking out of the headliner grabs alot of attention, even from a distance it's easily visible. And it's impossible to hide. Unless its a removeable unit. Then what do you do with it?? And if someone sees the mount up on the headliner, dont you think they'd be thinking you just stuffed it under a seat or something and that it's still in the vehicle somewhere??
As for the distance, we took a long drive in my old Hond Accord from FW Tx to Roswell NM last summer. Used my sister's portable 13" DVD player to keep our 2 YO happy on the long drive. It was a large widescreen LCD player that would strap to the seat back. Even being there, it wasnt too close. (only so many times you can watch Nemo or Toy Story though lol)
So personally, I'd go with headrest monitors hands down.