I had a power armor at that red rock place, close to the "beginning" and a settler had gotten into my armour somehow, when talking to her she exited it, but still strange, can settler steal power armor?

If there's an attack and there's a fusion core in the PA, then yes. They can

So when you hop out of your Power Armor take the Fusion core with you.

Thats pretty cool actually, thanks for the info.

I haven't tested it, but it might be possible to even command them to do so. Planning on haing a cored power armor near the guardpost in a settlement anyway