By law, am I not supposed to receive a letter, text, phone call, or something to say they will be coming to my property? Rather than just randomly letting themselves in?
Yep they are 100% supposed to give you notice. You would think if someone was going rob you they would have done first time.
Agency aren't been very helpful I would get the locks changed. Worst case scenario the agency won't cough up, small price to pay in my opinion.