i have CM 12 on my S4, and for sure each time i flash a new nightly, Anti-Theft is gone.
I have seen posts about creating a file /system/etc/custom_backup_list.txt and add 2 lines
app/com.avast.android.antitheft.apk
etc/com.avast.android.antitheft.backup.enc (if you saved settings)
but i think that will not work as i do not find these files in that folders… i assume something has changed here.
But, at installation, i discovered a checkbox which i activated, asking if i want AntiTheft to survive when flashing CM.
That seems to trigger the creation of the files which i also already tested… in this case it was successful. No idea what the difference was, but this time it worked.