I've been using this feature for a few months now (I work for Google) and I think on balance it significantly improves my security. It means that I can set my phone to lock instantly on display timeout, with a one-minute timeout, lock instantly on power button press, and use a long, complex password... and not be inconvenienced by having to constantly re-enter a long password. This is a security win, because if I did have to enter a long password two dozen times per day, I wouldn't do it; I'd choose a simpler password and settings that lock my device less aggressively. Even better, I find myself subtly encouraged by the phone to keep it in my pocket, rather than setting it down on tables, desks, etc., because if I put it down somewhere I'll have to re-enter my password.
If I were mugged, I'd just hit the power button as I remove the phone from my pocket. Actually, what I'd really like to do in that case is to power it down, but I'm not sure I could get away with that, since it requires holding the power button for a couple of seconds, then tapping the confirmation dialog. Since my phone is encrypted, getting it into a powered-down state makes my data quite secure. Not that the lockscreen is necessarily easy to bypass, but it's part of a large, complex system, which means there's a lot of attack surface. Once the device is powered down, the risk model is very simple and well-understood: If the attacker can't guess my password, he can't get at my data. Thanks to the hardware-backed encryption used in Lollipop, password guessing is rate-limited by the hardware to a level that would require, on average, about 70 years of continuous trials. Even if the attacker were that patient (a) nothing on my phone would be worth anything after a decade or so and (b) I doubt the device would last that long. Mobile devices aren't built to run flat out for years.
I've also used the bluetooth proximity Smart Lock, paired to a smartwatch, but I've decided I like the "Trusted behavior" feature better, so I've stopped trusting proximity to my watch. The range on bluetooth is large enough that I can set my phone down and be far enough away that someone could use it but still within range for keeping unlocked. Plus, I really like the encouragement to keep the device on my body. In the long run, that user training will, I think, do more for my device security than anything else.
I do still use bluetooth, but paired to my car's bluetooth, so I can put the phone in a cradle or on the center console and have it stay unlocked. I also set the phone to trust proximity to the bluetooth headset I use when cycling, because I put the phone in a cradle mounted on the handlebars and want it to stay unlocked as I use it to track my ride.
The discussion on this thread about phones being snatched from hands, though, makes me think that perhaps I should re-enable trust of my smartwatch. That would address high-speed theft pretty well. I just tested and taking the phone out of range of my smartwatch does lock the phone, even if it's in my pocket. So a thief couldn't just grab it from my hands and drop it in their pocket to keep it unlocked.
However, this means I lose the on-body self-training. I suppose if I turn the smartwatch linkage on only when I'm outside my home or office, I'd get the on-body training most of the time but the smartwatch linkage all of the rest. Hmm... I wonder if I can create a Tasker profile to automate that...