I think without clear character development, the player avatar defaults to almost a pure ludic abstraction. They are a sort of experienced, hyper-competent, obsessive-compulsive, entirely amoral kleptomaniac. They exist to flawlessly execute whatever plan is set out for them by the objectives, steal ever single piece of loot that has the slightest value, and to see or interact with every unique set-piece and interactable the mission maker went to the trouble of including. They have no real wants of their own besides accomplishing their objectives and not getting detected.
The real danger though for the mission-maker is that if their character writing is not interesting and self-consistent enough to overcome this bias towards ludic abstraction then players will default to just ignore the story entirely: supposing that it is meaningless set dressing. For some missions this works. E.g. In Volta and the Stone, we do not care why the thief wants to steal the stone, or how the course of his career brought him to that point. (We don't actually care about who the Voltas are either for that matter.) It is all just an excuse to explore a cool manor as a half-invisible cat-burglar-man.
For missions though where the characters and story is supposed to be one of the draws this means there are a lot of stakes for the effectiveness of the mission resting on the strength of the narrative hook. There needs to be a clear and ever-present narrative arc from moment one, to draw the player into the role playing experience and keep them in that frame of mind. Every event needs to logically connect to the next.
For your missions described so far, to do that successfully, here's how the essential flow that I see:
Mission 1: the PC is an inexperienced pretender at being a gentleman thief, (he probably has never actually stolen anything of value before,) who in his eagerness to prove himself plans a dangerous and unprofitable heist. The job goes badly wrong, and it is only by a lot of luck and a little bit of natural talent that he escapes with his life and barely enough loot to afford to make another expedition. However being a natural thrill seeker he is undeterred, and considers the adventure a great success.
Mission 2: using the lessons learned in mission 1, the PC plans a more sensible second job and takes away a tidy haul. However being sobered by success (and perhaps, being less overcome by adrenaline and having paid more attention to the somber circumstances of his surrounding this time), he decides that it's time to quit while he is ahead and return home with his fortune.
Mission 3: with home in danger, the PC must now use his skills not for his own naïve dreams of adventure but in defense of family. (He has truly grown as a person.)
and maybe Mission 4-5: the PC recognizes that he cannot return to the farming life just yet. There is other business he must handle before it will be safe to return to his old way of living... and perhaps in the process he recognizes that his skills as a sneak are more valuable to himself, and the life he imagines returning to, than is the purer calling of being a simple farm hand.