The very few physical artifacts I worry about are my passport and passport card, Social Security card, birth certificate and auto title. I have also have an accordion folder for them.
Also there’s the stuff in my wallet like drivers license and bank cards.
I also take pictures/scans of everything and store it on my computers. With cloud backup (Google Drive and Microsoft OneDrive) I can retrieve a copy almost anywhere I have an Internet connection.
The physical documents aren’t that important. They’re rarely needed. Having copies at hand is immensely useful.
No, I am not worried about my data getting stolen. 1) It’s all encrypted and 2) My identity is not worth stealing.