It does. Answer is, there is no good/easy way to get the job done. Firearms are shipped daily without incident (hundreds, I'm sure), but those aren't MY firearms. My wife would tell you I'd tote every blessed one of them into the hotel room every night because I'd be worried about the U-Haul getting stolen in the middle of the night. And that does happen, and happens more often than the media reports, I would suspect.
U-hauls are a target with thieves.
Trailers of any sort are tempting for A$$ Hats.