Do what your rental company suggests when it comes to locking versus not locking. As always, leave NOTHING of value in the car at any time unless someone is with the car.
Liability insurance is totally up to you. Supposedly Hertz does still include it. This has been beat around a lot and it seems that all companies are supposed to include it but some/most will still want to sell it as a separate item.
It sounds like perhaps you deciphered the language. Personally, I decline any additional insurance and use a credit card that I know provides some coverage. You can also check with your auto coverage at home, some provide coverage out of the country and some do not.
.
