Theres a book about thievery in which the story is about two thieves who steal something(i forget what)from her. it just seems that Bethy has targeted her for that sort of incident more than the other Daedric Princes.
I think the book may be referring to the theft of the cowl. In "Purloined Shadows" her cloak is stolen.
I suppose it makes sense that the best thieves would enjoy the irony and appreciate the test of stealing from the night mistress, although you don't hear of famous hunters tracking Hircine or proficient rapists "surprising" Molag Bal".