I found your message very interesting because the exact same thing happened to me today. I left my iPad Pro on an airplane in December 2018. At that time it was in airplane mode with wireless turned on to access the airplane's wireless service for watching TV on the flight. I had placed it in that configuration upon departure of the flight several states away about 2 hours before reaching my destination and about 5 hours before I found it missing. It was a "non-cellular" device, so it cannot connect to the internet except via a wireless connection. Once it was removed from the airplane it would no longer be connected to any wireless service. It had Find My iPhone/Location services turned on and I can verify that prior to losing the device those functions worked correctly. It was locked with a 4-digit passcode.
I did not know about the loss until I arrived home about 3 hours later. I immediately accessed the Find My iPhone function on my iCloud website. It showed that the device was "Offline" without any "last location" shown on the map. I immediately placed it in "Lost Mode," requested to be notified when it was found, enabled the device to display the message that it was a lost device along with a phone number to call me at, and enabled a sound to be played on the iPad when it was "found."
I filed a lost and found report with the airline the same night but they never recovered the device in the 30 days they make an effort to do so. I have maintained close surveillance on the iCloud Find My iPhone page ever since then but nothing has ever changed. I assumed the device, have the Activation Lock in place," was essentially useless to whomever found it and I gave up that I would ever hear anything again.
Then out of the blue I got the very same email that you did (which you pasted into one of the replies to your message). I do not know how someone has triggered this message, but I am sure that it was automatically generated via Apple to my registered email address. I have tried to replicate any maneuver someone might try to get into the iPad but I have never been able to provoke such an email. I did this by taking an old iPhone 4S that is no longer connected to any service carrier and setting it up as my device with my Apple ID and logged into my iCloud account with Find My iPhone and Location Services turned on. I confirmed that it showed up on the Find My iPhone on iCloud with name and location shown accurately. Then I set it up with the exact configuration that my iPad was in when I last possessed it - Airplane mode on, connected to a wireless network, locked with a 4-digit passcode, etc. I then placed it in "Lost Mode" with the same alerts on iCloud. Next I assumed someone would try to restore the device to factory settings to erase all of that so they could set it up for themselves. I connected it to iTunes and did a factory restore successfully. At that point the iPhone 4S behaved like a brand new phone. I initiated the setup which allowed me to choose the language and country and connect to a wireless network successfully. The next step activates the phone, but will not complete that step without getting past the "Activation Lock" screen requiring input of my Apple ID and password. But even at that point the email you and I received is not generated, so I am at a loss as to what was done to make those emails be sent. I also have not received any notice via Find My iPhone that the device has been found, no sound alert has played on the device, and the message saying that it is a lost device along with my phone number is not showing up on the lock screen. I have to believe, therefore, that even though the wireless connection is made, access to the internet IS NOT, so all of the recovery functions of iCloud won't connect. Consistent with that theory, when I go ahead and enter the correct Apple ID and password and finish setting up the phone the I quickly get an alert on my other phone that the device is found, I get an email saying the device is found, the device shows the "lost" message on the lock screen, it plays the sound alert, and the device again shows up with the correct location on iCloud.
I know that is a lot of detail, but every detail helps me decipher what the heck is going on. Bottom line, until my lost iPad connects to the internet I am never going to know it has been found and where it is. And it appears that until someone has my Apple ID and password to get past the Activation Lock, the iPad is never going to connect to the internet. It is a bricked device.