Let's ignore the privacy and consumer rights implications of what you're proposing for a second. Is the cost of adding remote tracking and disabling capability to every EVGA video card worth it? How does that impact their ORM customers knowing that they're now on the hook for any security failure EVGA has? They could introduce a vulnerability far worse than anything they prevent. Any hacker that compromises EVGA's remote kill switch keys could now hijack their entire user base.
So EVGA loses a truckload of hardware in a theft in an event so rare that the fact that it happens makes the front page of hackernews. Unless this starts to be a pattern, it makes far more sense for them to file an insurance claim and write off the loss than to try a risky technical solution - which might not even work, given that hackers are really good at bypassing DRM solutions anyway.