They can see and hear a lot of details of activity inside the house, not just the baby. Whatever is in range of the camera and microphone.
Again, what's the threat? It's creepy, yes, but you have to be within about 50' of the house to pick up the baby monitor (maybe a little further with a high gain antenna). That's either in the middle of the street or a neighbor's yard. Someone who is that close can tell if anyone is home anyway. And anyone just loitering outside my home, in my yard, or in a neighbor's yard in the middle of the night is probably going to have some questions to answer before too long.
Random kidnappings, especially ones involving home invasions are so rare they are not worth worrying about. They just get sensationalized to such a degree that people worry about them disproportionally. The chances of it happening to your family specifically are basically 0. Your kid probably has a better chance of getting struck by lightning.
And if someone wants to rob me, well there's not much I can do to prevent that regardless. I have an alarm to deter casual thieves, but locks only keep out honest people. That's what I have insurance for.