If you are raiding and steal a liftable object while mounted, you can carry it off the claim without the associated Red Handed debuff or shp damage. Dismounting however, will then trigger the debuff and damage, resetting any Red Handed you had already timing down back to maximum.
I didn't think to turn tracking back on, but I believe the scent associated with the theft may also be left at the spot you dismounted. I can't confirm that for sure since I don't remember exactly where I dismounted but it would make sense since it triggered the debuff and damage.