The incident took place in the wee hours of Friday, police said adding that the watchman, whose body was found abandoned at the nearby Kinhi village later in the evening, was identified as Laxman Sakharam Tengne.
Rathod, an MLA from Digras, was in Mumbai to attend a meeting and his family members were also out of town when the incident took place, police said.
The MLA's house is located around 500 metres away from Wadgaon police station and is in a busy part of the town.
According to the Local Crime Bureau (LCB) chief Chandansingh Bayas, the accused might have come in a car and after the robbery, kidnapped the watchman and later murdered him by slitting his throat with a sharp weapon "No other injury was found on his body," Bayas said.
A manhunt has been launched in this connection, but no arrests have been made in this connection so far, he added.
Offence has been registered under sections 457 (lurking house trespass or house-breaking by night), 364 (kidnapping or abducting in order to murder), 365 (kidnapping or abducting with intent secretly and wrongfully to confine person) and 34 (acts done by several persons in furtherance of common intention) of the Indian Penal Code against unidentified persons, they said.