What are the physical anti-theft protection for MacBook Pro (2015 Retina)
You get a case with a lock.

The Ledge Case MacBook Pro Touch Bar Lock is a nice one that a relative showed me the other day, because he, like you tend to have their MacBook Pro out in the open in coffee shops and will leave it unattended. 



Disclaimer:  I have never used nor owned one of these because I simply won't leave any computer/device unattended.  I had my personal laptop stolen from work (at the University Library) when I put down my laptop bag to punch in (still used cards back then).  In the time it took for me to walk the 20 feet (3m) from my desk to the time clock, it was gone.  Since then, my device is either on me, or physically locked away.