Two sided sword. If the person that took the laptop is actually a thief he/she conveniently knows you're currently not at home upon boot. Since this theft requires at least some criminal energy (I guess there's an outside shot of just being a grab and run) I wouldn't put it past the thief to immediately loot your home or have an accomplice do so.

Use a work address, email address, and a cell phone number. Agreed that home address is a bad idea, just like on luggage tags.

That would require the finder/thief to be in a position to exploit that knowledge, something that is fairly unlikely for the general case. There are easier ways to figure out if I'm home (ring the door).

If you're concerned about that, just have a dedicated email address on the screen.

I usually put a friend's email/phone on my phone's lock screen. That way they actually can contact someone (since I just lost the means to do so). I hope a potential robber wouldn't take this as info of a good target, though.

The ability to add a lock screen message is under 'security & privacy' on System Preferences. I feel like that's not the right place to put it, but I don't know what would be.