Stolen Macbook

While there is no user input or control of WiFi access from the login screen, location services is still active. So from the login screen on a Mac with Find My enabled, Find My and location services are active and in fact will use any WiFi network within range to send the device location to iCloud so you can see it in Find My locations.

When it says no location found, either the device is powered off, WiFi has been turned off, location services and find My disabled, or there is no WiFi network within range.

But Mac Find My will work from the login screen if the required connections can be made.

Read what to do...

'If your Mac is lost or stolen.' Click here --> https://support.apple.com/HT204756

In terms of actual machine recovery the Find My feature on a computer isn't as effective since computers do not have GPS. It relies upon the IP address information from the network provider and sometimes that can be off by several hundred miles if the provider is using an address in another city. What Find My offers is a way to protect account information should the computer re-connect to the Internet.

Correct. If there's no Internet connection then you cannot remotely erase the Mac or have it activate lost mode. You will then have to rely upon whatever inherent security you had set up on it such as an account password.

Note that newer Macs with T2 chips and later have added security features.

Click on this link to read about 'Activation Lock for Mac' --> https://support.apple.com/HT208987

Correct, all those features are available if the computer can make a connection to the Internet. If there's no wifi and no Ethernet then it is cut-off from receiving commands from Apple and has to reply upon whatever security features it has been using by default for day to day operations. However, if the thieves try to do certain things they may be required to connect to the Internet and then the additional security commands from Apple will be received by the computer. This is kind of what i have been saying all along in the face of the OP originally stating, "I have heard that I can only trace the Mac if it is connected to the internet."