iPhone 14 Pro stolen - erase still pending - getting strange messages

Hi all,

My iPhone 14 Pro was stolen a few weeks ago and appears to currently be in Shenzhen, China. I have reported it stolen with my country's police (but they didn't care), notified by cellular provider, changed my passwords for my bank accounts and AppleID. Today I received a random iMessage alleging that the messenger had purchased my phone, that the erase request didn't work and was jailbreaked. The message also mentioned that it was "going be auctioned on the black market with your personal information and everything about you that you had on it. all you info including your phone number, address, everything will be cloned" and that I should remove it from my device list.

Given that they have now figured out my AppleID, although I am sure the message is from the thieves and network, should I be concerned that they have in fact, jailbreaked my phone, and should remove the device? I know that by removing the device, it allows them to resell the phone but would it allow them to have my data?