As someone who lives how you say OP should, caravans do have downsides. They're not usually made very well and if you're traveling a lot they're not well suited to it. If you're moving to a new place every few months or something they're alright. If you're moving every 2 weeks or few days, a van is where it's at. There are different ways to live a nomadic type of life and vans are more suited to a more extreme nomadic life than caravans.

Where do you leave your caravan when traveling into town, wouldn’t leaving it make it more susceptible to theft?

I would say the risk of theft is far lower out in the country side.

Exactly. On top of that, you have to find specific places where it's allowed to park them. However, you can park a van anywhere.