Q: find my iPhone feature

You can locate your iPhone by following the instructions here >  If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

Perhaps you mean Lost Mode > iCloud: Use Lost Mode

If it's able to prompt for a passcode, then it's physically powered on. If there is an active SIM in it, then it's able to connect to the cellular network without entering the passcode. If it's in range of a known WiFi network, it will connect to that network.

KiltedTim, thanks for you response. I'm in a similar situation as OP. Could you help me understand a bit better, though?

My phone was set into lost mode, and as it was located immediately after I lost it. However, I've not been able to get back to the site where I lost it and I'm afraid it's fallen into the hands of someone who wants to keep it!

I suspect the SIM card has been removed, so it doesn't have a 3G network anymore, and it's unlikely to find an open WiFi network to connect to by itself. So if a thief wants it, he just removes the SIM and there's no chance I'll see that baby again?