Correct, sleeper accommodations on Amtrak cannot be locked from the outside.
Is this something you should be worried about? I would say you shouldn't be any more worried than on an airplane or other conveyance should you use the lavatory.
Given the lounge, cafe and dining cars is almost always full, I doesn't seem many, including myself, are particularly concerned. I'll regularly walk up and down a train leaving my bag on the rack, even outside the US.
Short of taking things with you, I would certainly recommend you keep any valuables out of sight. To be safe, use a lockable case, even a zip tie will do. If you really want to be extra safe, you can zip tie the case to a fixture (I think the rack has a rail), just not in the way of the Attendant.
Yes, is mostly a deterrent. If the thief really, really wants your stuff, they will find a way, but at least you're making it easier for them to steal someone else's stuff :O.
There are many videos on YouTube that showcase the roomettes, just make sure you watch one on a Superliner.