That e-mail is a "phishing" message from criminals. It is not from Apple, Activation Lock, or iOS.
If you fall for it and give these criminals your Apple ID and password,
- They absolutely will be able to get to your data in iCloud – the same way that you can now, through the iCloud Web interface.
- They will be able to remove the Activation Lock, reset your phone, take it off "Find My", and "make it their own"
Likewise, if you remove the phone from the list of devices associated with your Apple ID, that will clear Activation Lock, letting the criminals "make your phone their own."
Do not interact with the message or its sender. Your best hope is that the phone is locked, that they don't know your credentials (didn't see you enter either the passcode or the Apple ID password),, and that they are sending "phishing" messages precisely because they have discovered that they have an Activation-Locked brick.