They might, or they might not. I am not saying not to use the features of find my iPhone to help protect your data. Just don’t count on them.
The comment in the original post that caught my attention was the “can I lock it”. If your device doesn’t already have a screen lock passcode (preferable a strong passphrase if you use fingerprint or face recognition) then locking it remotely later, after it’s lost, is often wholly pointless. Why would a thief bother disabling airplane mode if they already have access to everything on it?
In that scenario, no screen lock passcode, I’d be far more concerned with getting online, changing passcodes, enabling 2 factor logins or authentication if not already in use, contacting banks or credit card companies, etc. I would not be wasting time trying to lock the barn door after the horses have fled.