Mail slots are typically used in America in all row-homes (aka, very nearly all houses in towns or cities). Apartment buildings almost always have locked mailboxes, unless you are really scraping the bottom or your apartment is in a converted row-home (my old apartment had a single mail slot on the front door, the 3 different apartments just sorted each others mail). Private developments often have locked mailboxes outdoors by the entry gate.

Unlocked mailboxes outside the house really only exist in rural areas or regular suburbs (to be fair, these sort of homes probably make up a plurality of homes in America).

The bigger problem is what happens with packages. Unless you live in an apartment building with a staffed leasing/mail office, chances are your packages get left by the door (usually in plain site), or you need to be home to sign for them.

I am from Australia and where I'm from everybody leaves their mail in an unlocked box outside.

No idea how this works in other places, but in the USA, messing with someone's mail or mailbox is a federal crime.

How many people are ever caught stealing mail though?

My (US) house has such a slot but it has been glued shut decades ago so that nobody drops dog poop, or worse, a flaming piece of mail, into it.