Theft light

The stereo in most new cars does far more than play music. It stores a lot of the information used in the vehicle. Even if you simply replace a factory unit with another identical factory unit you need to go in with a scan tool and program the new one to work with the vehicles ECM, BCM. If you are trying to replace the OEM with an aftermarket unit it's much more difficult. In that case you usually need to put the OEM unit on a longer harness and install it somewhere else to keep things working.
In your case the battery dying tripped the security system, You can try a system reset but it may not work if the radio is part of the security system (which it probably is).

https://www.2carpros.com/articles/how-to-reset-a-security-system