Lost Mode

I doubt that the government asked you to remove lost mode. Most likely the thief pretended to be the government asked you to remove lost mode, which also removes Activation Lock, so the thief can sell it as a working phone. This is a very common scam, called a “phishing” scam. See→Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support.

The phone can be tracked by the carrier if it is in lost mode, which makes it even more likely the message you got was from the thief.

But if you truly want to fall for this scam to make your stolen phone usable by the thief then log in to https://icloud.com/find, click on the phone and remove it from your account. As long as the phone is still attached to your account the phone is unusable by anyone.

If you have erased the phone you need to set it up as a new phone when you get it back.