elcpu, I do have FMI activated but never used it before, I searched for Lost Mode and realized it's a feature within FMI... silly me....
Either way, I know there are some tweaks that can prompt the security code if someone tries to turn off the iPhone, but these tweaks only work on iPhones with jailbreak. I've tried jailbreak in the past in a iPhone 4S I had but it was never a stable and secure platform, and besides, I use regularly my bank's app and it doesn't run on jailbroken devices, for safety reasons, so I won't do it. I just think Apple should have a feature that would ask for the unlock code before turning off the device. That would be a good security improvement that would prevent the iPhone from being stolen, in my opinion.
Thank you for the time you took on helping me with this matter!!!!