"Will you arrest the robber?"
Good question. We don't have clarification from Dr. Okrand. Going by their English definitions, you rob a person or place and you steal a thing. A theif might just steal things that require little effort or planning, but a robber must often plan and face more danger. However, in the end, I'm not sure there is very much difference between a robber and a theif, especially when there is so little context. However, they are separate words and we know the Klingon words for each, so we expect you to correlate the words properly and not use them as synonyms in this course.
Going from the English means, robbing someone involves violence or at least the threat of violence.
So a burglar who breaks into your house and steals your cash while you're away hasn't "robbed" you, while if he met you and pointed a gun at you before making his getaway, he would.
Thanks for all the helpful tips, which really help to demonstrate the semantic differences between the two. In the context of this course, of course, I understand that it's best to simply correlate HejwI' to 'robber' and nIHwI' to 'thief', but I'm trying to think ahead, beyond the constraints of the course, to when I'll need to actually use these words in conversation (and hoping there will come such a day!).
The threat of violence, and possible implementation of weapons, is a very good point, and if the distinction between animate and inanimate direct objects in English - i.e., that one generally robs a person or people, but steals objects - also holds true in Klingon, then that's a very helpful hint going forwards as well. Satlho'!