The missing security light means the ecu you have installed is not good, not compatible or just has the wrong calibrations installed on it.
There are two ways to do this. The right way with GM tools or J2534 or the backyard mechanic way.
The right way:
I usually use tech2 or a cardaq with GM SPS from ACDELCOTDS
Your goal is to Replace+Program the PCM so that ...
The only way to perform the relearn is with a professional level scan tool. Most shops will charge a half hour labor to perform this for you.
The anti theft will need to be done by the dealer as shown below
Theft Deterrent Control Module Programming and Setup
Connect a scan tool to the vehicle in the Pass-thru arrangement.
Turn ON the ignition, with the ...