As I mentioned in the original post, the feature would be optional, so the second poster I understand why you disagree, but not when you can choose between them.
Let's be honest, if you lose your phone or have it stolen, most of the time you find out straight away and not a day after (my phone is always on me and I would notice straight away if it's gone)
What would someone do as soon as he sees a phone, let's say on the seat of a train (considering it's someone who would not attempt to return it, especially if it's an iPhone), the first thing that the person would do is check if it's password protected, if it is, the next thing is to switch it off. The least likely thing he would do is take the sim card out (I don't know many people who carry small sharp objects to pop the sim card slot open).
So the phone is now switched off, bye bye iPhone. Unless you want to sit on the MobileMe website refreshing the page 24/7 until the person turns it on to wipe it clean.
However, let's say the phone cannot be switched off unless it's unlocked (option in settings), this gives the owner valuable time to check the location of the phone.
This idea came to me after hearing of my friend having her iPhone 4 stolen at work. She had in at 11am when she came into work and left it in the pocket, at 1pm she went on her lunch and the phone was gone (staff room theif). When she tried to ring it it was... well well well, switched off!