WE have been towing a Ford Escape Hybrid with all wheels down for over a year now and have never had a problem with the transmission. Having said that I'm told that the transmission on the Hybrid is different than on a non-hybrid and that a 4WD non-hybrid should not be towed all wheels down. I had a extra key made for the Hybrid to use when I'm towing. This key doesn't have the chip in it as you don't need it when towing. Anyway the key is to get the transmission in neutral and if someone breaks in, they are not going to get far with this key. Then I turn the key to the last position before "off". That way, the digital display is not on nor am I adding miles on the Odometer.
Another suggestion. We purchased a Blue OX baseplate and hitch (excellent products) for the Escape as well as a brake assist system and a break-away system. After adding everything up, I have just as much invested as I would if I had bought a closed in trailer to house the Escape. With the Escape towing inside the trailer, I would have extra storage and I wouldn't have to wash the car after every trip. I've seen some people using the dollies and they can be a mess to unhitch especially in the winter or after traveling in the rain.
Hope these comments help.
Paul