What can thieves do with a passcode protected iPhone?

Can they:

Bypass the passcode using a computer software to access my data?

No, but they can try to guess your passcode. They only have 10 or less tries though, before the phone locks out and no more codes can even be entered.

Unlock the iPhone and connect it to the Internet without Apple notifying me?

No, for the same reason above. They will never get past the passcode.

Access my data through a computer without getting the passcode? (i.e., images, etc).

No, same reason. You are really asking the same question 3 times.

What can thieves do to a passcode protected iPhone?

Nothing, once the incorrect passcode attempts have occurred, the thieves would then need your Apple ID and Apple ID Password to bypass activation lock to get at the data on your phone.

I'd like to know what my possible/potential exposures are with regards to breach of my personal data left on my device. Since I have my banking details there and account passwords on that iDevice.

Same answer.

If you are still worried about the data on the phone, you can erase the phone remotely using Find My......if.....the phone can be located.

After all, the phone is gone. You will never see it again, but don't be surprised in a week or two if you see that the phone is located in China. Thousands of phones arrive each day at a huge remanufacturing plant there.

would it be safe to assume that they indeed haven't guessed my passcode yet, right?

No way that anyone could ever guess your correct passcode in less than 10 tries.

For upwards of a million dollars, there is software that claims to be able to get into a phone. If you are a billionaire, a high government official, a spy, etc., you might be a target if your phone is stolen. But, even the FBI admits that they have a really hard time trying to get into an iPhone.

Restated:

The “practical” answer is that loss or theft of a secure-passcode protected iPhone (known only to you and not easily guessed) is only an expensive nuisance.

e.g. You have procure a new phone, contact your carrier, restore from your most recent backup, setup FaceID, re-verify credit cards in Wallet, … etc.

It is NOT a risk of data compromise.

Because of this “hardness,” thieves have taken to phishing schemes - of varying sophistication - to obtain credentials from the owner via SMS, as it’s the only practical way to “crack” the phone’s defenses.

This risk too is declining as eSIMs replace nanoSIMs.

A1: As soon as the phone is stolen, the nanoSIM is removed and placed in another device to determine it’s phone number.

This has to be done before you contact your carrier who cancels the SIM.

Then, they “have your number” and can contact you once you have your new device.

This risk can be mitigated w/ a SIM PIN, but it’s usage is a little clumsy and doesn’t scale well for the “masses.”

eSIM closes-off this attack vector.

A2. As long as the device remains on your AppleID — while it can be reset/erased — it CAN’T be activated again w/o your AppleID password (why it too is a phishing target).

This state is commonly referred-to as: “Activation Locked” and the device is essentially a shiny paperweight.

A3: It will either be sold online to an unsuspecting purchaser who thinks he’s getting a good deal, or shipped to a “chop shop” in China for parts.