Various propositions for defining what is moral or immoral have been made through the history of philosophy. So far none have been demonstrated to be the correct one, so it is important when discussing morals to set the scope of conversation by specifying what school of thoughts is considered.
Long story short, there are:
deontologism consider one has an absolute duty of acting in a certain way. It's usually in the form of obedience to a rule, like obeying one's parents, boss, god or political ruler. Kant also posited that it was one's duty to act according to reason and infered rules of conduct from this premise, including the famous categorical imperative. In both cases, are moral the actions that have a good intention (I.e. Conforming with duty, but this duty can vary depending on the school of thoughts)
consequentialism focuses on the result of an action. Are moral actions that have good results or (depending on who you ask) come from the intention of producing good results. Again, what "good" means is still up for debate.
Your question seems to focus on consequentialism ("what is the harm?") so let's forget deontology for the time being.
In that case your examples all raise questions about the analysis of their harmlesness and the thoroughness of the measures taken to prevent harm.
How sure are you that no one cares or that you will never be found out ? Is it a whim or have you taken serious measures to make sure it was ok? Are you sure that entertaining your fantasies won't bring you in a mental place where you will want to enact them?
If one is just acting carelessly because it is convenient for them, on the spot, to evaluate what they do as harmless it's difficult to consider they are acting morally. They just don't care, which is different.
To go further, the notion of social contract should also be considered. We are not acting in a vacuum, but our decisions involve other people and we hold together a certain moral standard that let us coexist in harmony.
For example, what if you were the one to be lied to or stolen from? Do you trust the other person with the decision about what part of your property you care about ? Or what lies are harmless to you? As they are not you, how can they pretend to be better informed on the matter than you are?
Wouldn't you prefer them to ask you before, and if they ignored your opinion wouldn't you be pissed? Do you think a society can thrive with people constantly trying to second guest each other and taking advantage every time they personally think it's ok?
If you think other people ought to ask you if such and such action is harmful to you before going on, then you are holding a moral position about it, you are fixing a moral standard. And other people would be justified in holding you up to your own moral standards.