Scripting

The only way you'd really be able to do this would be through custom inventory. There are a few different WMI queries that you could try but most docking stations don't trigger those anymore, since they are basically just passthrough port replicators now. You'll just have to determine what, if anything, is different about the system when it is on the dock vs off (such as connected devices, perhaps monitors) and have a custom inventory item that checks for those. You'll probably also need to store that info in a file so it has something to compare it to and have it store the date/time it changed.

If you have assest history enabled you should be able to see under asset history of when the hardware changes.

Off the top of my head run an offline script that querys the IP address every hour or so. Export the results to .txt file. If the IP address changes to something not on your network I would say they are taking it. 

@echo off

echo %date% %time% >> C:\temp\ip.txt

ipconfig |find "IPv4" >> C:\temp\ip.txt

In this case write a custom inventory rule for C:\temp\ip.txt

ShellCommandTextReturn(cmd.exe /c type C:\temp\ip.txt)