The messages are indeed a scam. If you put the iPhone into "Lost Mode" and set it to erase and it completed that erasure before you removed the iPhone from Find My, then the data on that iPhone is gone and the thieves cannot access it. If you removed it from Find My before it said that the erase had occurred, then you've given the thieves access to the iPhone, though unless you gave them your passcode to the phone, they would have to erase the iPhone for anyone to be able to use it.
You should carefully monitor your credit card and bank accounts to make sure that, unlikely it is, no one has gotten access to your card numbers to make fraudulent charges. If you see anything you aren't certain is a valid charge, contact your bank and report the suspicious transaction. You may want to change the passwords on your Apple Account and bank accounts just as a final precaution. It's probably not necessary but in my opinion it's better to be safe than sorry.
Regards.
