I think microchipping is an inefective, impotent way to protect your horse from theft.
I have never, ever once seen anyone at a low-end auction checking for microchips on horses. Since most horses that are stolen are done so by some low-life looking to make a quick buck that is generally where they end up.
I've been involved locally with netposse and we had a rash of horse thefts some years ago in my area. The president of my OHC chapter's two family horses were stolen from their pasture even.
The horses were recovered at Shipshewana auction in Indiana, they were going to be run through the auction that night (it is predominately a kill buyer auction). They were microchipped, The microchips were never scanned. Luckily the horses were recovered as were several others that had already been sold.
It was public awareness that brought all those horses home. Netposse and the Ohio Horseman's Council were on the news nearly every evening. People were scouring auction houses and handing out flyers everywhere. The horses that had been sold and then later recovered were done so because they had been bought by honest people that notified the police that they had purchased stolen horses at auction, thank god.
The horse thieves were caught and prosecuted. Turned out to be a couple of meth-heads that stole a horse trailer and then began stealing horses to sell them at auction for drup money.
After that everyone around here started freeze-branding their horses. It's an easy way to identify a stolen horse, and someone looking to make a quick buck isn't going to take the time to tamper with it. It's a much better theft deterrent. For example, there were two horses stolen from a horse camp near here right off the picket line in the middle of the night. The horses were found tied up in the woods near a road about a mile away. They caught those would-be horse theives too and the reason they gave for dumping the horses is that they saw the horses were branded and didn't want to take the chance of them being identified. Too bad for them an alert property owner saw their truck and trailer parked on the side of the road in the middle of the night and took down their plate number.
So as a theft deterrent I think microchips are a crappy choice. Now in cases of natural disasters where it would be likely that loose animals would be getting scanned after being caught, sure. That is where I could see them being effective. But also being diligent about getting your horses out of potentially disasterous situations, keeping current records on them and having them branded would be nearly as effective.