Is the public parking lot monitored at all? The only things I could suggest is getting a dashcam so you can hopefully catch them in the act. Then you can forward the video evidence to the authorities, and hopefully it will help in identifying them. I did a quick search online, and one thing a lot of people are doing is having a mechanic/muffler shop weld the cat to the frame to make it harder to steal. I don't think VIN etching will help, they'll get rid of the cat either way. Spray painting it won't do anything as it sounds like they know exactly what they're looking for.
I've heard that a used cat can be worth a fair amount of money (no idea how much) due to the precious metals used inside them. I suppose its fairly easy, they would just need to get under the car and use an angle grinder to cut the cat out. Your car should be a lower risk as most thieves will target hybrids first, as their catalytic converters are more valuable than a non-hybrid car.