Scam email re iCloud being locked

I don't know how much investigating they do but the following has the instructions below on how to report them to Apple: Recognize and avoid phishing messages, phony support calls, and other scams - Apple Support

Please report suspicious emails and messages: 

• If you receive a phishing email that's designed to look like it’s from Apple, send it to reportphishing@apple.com. If you forward a message from Mail on your Mac, include the header information by selecting the message and choosing Forward As Attachment from the Message menu.
• To report spam or other suspicious emails that you receive in your iCloud.com, me.com, or mac.com Inbox, send them to abuse@icloud.com.

Apple encourages reporting those attempts, as stated in Identify legitimate emails from the App Store or iTunes Store - Apple Support

"If you received or acted on a likely phishing message: 

If you received a suspicious email, please forward it to reportphishing@apple.com. If you're on a Mac, select the email and choose Forward As Attachment from the Message menu."