All modern cars are required to have an "anti-theft" device but a steering wheel lock is only one of the methods. As Don says, new cars often use electronic means, e.g. a chip in the key, instead of the mechanical wheel lock. Neither of my last two cars had a steering lock.
If your dolly is one that has its own swivel pad and thus requires that the front car wheels not turn, you should strap down the steering wheel as tightly as practical.The steering wheel may be hard to move in human terms, but the forces exerted on the front wheels by the dolly in a turn are huge compared to human muscle.
Chances are you can run the seat belt through the spokes of the wheel to do that. On the 2013 Buick Verano we dolly-towed, I extended the belt fully, looped it around the bottom spoke and latched it, then ran the seat back to tighten it up. Worked great.
