Yes for the anti-theft warranty you must purchase a Pedego approved lock within 7 days of your bike purchase. You can download the Pedego owner manual for all the details and "fine print" regarding the theft warranty. The basic points are if the bike is stolen you must produce a copy of a police report (within 48 hours if I recall correctly). You must also produce the damaged lock. If you meet the qualifications of the theft warranty, your bike will be replaced only once.
Regardless of the anti-theft warranty it's a good idea to purchase a hefty lock to discourage theft. Given enough time and the proper tools theives can defeat any bike lock. Another good thing is to register your bike (with photos) on bikeindex.org. Read more about it on the site and you'll see why it's a good idea.