Well, they are not entirely wrong. Thanks to the way the Matrix structure, SINs, and purchases are done in the SR world, there is a digital footprint that can be followed. Its not a case of a couple of cameras either, its a couple of hundred cameras, every block! Everything from the people on the street you pass, to the vending machines along the sidewalk, to actual security cameras record everything in their field of view constantly.
But this is also the system's weakness. As the time between when the Runners pass by a recording point, to the time a search is done hides the incriminating data under megapulses of data, making finding anything of value that much harder. (After all, not only were the runners recorded, but also every single other person that passed by! Multiply that out for a large city, if its been say 10 minutes in the downtown core of a city, how many cars and people have passed by? 100? 300? 1000?)
Now, the other side of this coin is where the run happens. Each part of the city has a different security rating, which reflects just how fast the police respond, and the 'quality' of enforcement. So the downtown core of Seattle is a 'AAA' security zone. Meaning safety is all but assured by drones, police on the street, patrols, and a response time measured in seconds! You must display a SIN at ALL times, or be summarily detained and charged (its a crime to NOT display a SIN in these zones!), and a host of other things that make citizens and more importantly the money, of the zone safe. On the other had, the police are not coming to the heart of the Barrens. Ever. Unless its in a platoon sized squad armed with heavy weaponry. Needless to say, they are not really interested in arresting people when this happens - its more of a case that they arrest and process your corpse after they have filled it and everything else around you with lead. (But hey! It's not like 'real' people live in the Barrens, so no 'citizens' got hurt, so no foul!)
Also, as the zones change from high class downtown to the barrens, you find more and more of the infrastructure is... not so up to snuff as things wear out or are damaged. Which can lead to "dead zones" in the matrix coverage. These dead zones may not be very big, but can be useful you know where they are to change SINS quickly. You enter the dead zone as "Bob" and leave as "Frank" Which is another reason why having more then one SIN for a Runner is a good idea.
Also to consider is how the whole security and policing system works, which can be a pain to wrap your head around so I will try to explain it here for you.
The first thing to remember is that policing in cities is done by a private corporation, and not by the City proper. As private Corp, the end goal of the Corp is to make money. (NOT POLICING! that is just the service they sell, much like how Sony makes a game console for you to buy) So crimes are allotted hours of investigative time based on the crime, the impact to society, and the potential effect it could have to the Reputation of the Corp.
A purse snatching might be allotted 10 minutes of time.. basically just enough to take a statement and that's it. A murder of an average citizen might get allotted 10 hours of time - basically enough to maybe find the criminal if it was a sloppy act of passion or random street crime. However the murder of a public figure, or the mass killing of several people might be allotted several thousand hours as the public outcry would be much greater.
It also has to be mentioned that the Police's powers end at the City limits. They can not go past the city limits, nor onto extra territoriality without the express permission of the Corp in Question. So a bunch of criminals in a high speed chase zip into the parking lot of the Aztec Pyramid and the Cops are stuck at the crub until Aztec says they can come in. (and there is no guarantee they would!) However, by that same extension, the Corps' private security ends at the curb as well! They can not follow you off the Corp Property! (Well, they can... but they are no longer 'security' and are just heavily armed thugs in the eyes of the police!) So if you steal something from a Corp and make it to the sidewalk, you're home free from Private Security... and that police officer just doesn't care what you took from the Corp, as it's not his business...... Until the Corp asks the Police to retrieve the item! (then see above..)
Now, all of that was long winded.... but had to be said before we go on.
To avoid being tracked, many runners use a combination of tricks. They will use several different cars, parked at various spots on different Corp properties to switch between. They will use various SINs and change them out in dead spots to create breaks in data trails. Combine these two tricks with the way the policing system works, the limits of Corp security powers and the general fact that even the Corps know this is just the cost of business
and careful Runners get away.
Most Corps are not going to invest more then a couple of days into looking for you (the Runners), as really there is no point after that. Chances are you don't have what you took anymore, so really there is nothing to recover from the Runners as they have passed it on to whoever hired them and they are probably safely back in his Mother Corp. After all, ALL corps use Shadowrunners, they know the name of the game, and how it is played.
On the other hand, Runners can do things that just provoke a response from a Corp. This usually happens when things get.. out of hand. Corps realize they are going to lose data to Runs. That's just the way it is. But losing data, and every single person on the 6th floor because the Runner's Troll decided to bring and use a minigun...... that doesn't go over as well and generally leads to problems down the road.
In short, stay quiet, plan your route, keep a low to NO body count and you are golden. Go out of your way to piss off everyone, everyone goes out of their way to stop you.