My phone has been stolen and, even though I had activated lost mode, the thief has disabled Find My Iphone

Few days ago my Iphone was stolen and was immediately turned off by the thieves. I activated lost mode, but it couldn't locate the phone since it was offline. I had been told that there was no way that the thieves would have been able to unlock the phone due to lost mode ( on top of that the phone already had a lock on it and the two factors authorization), so I waited to see if the thieves turned it on. Yesterday night I receive an email that tells me that the phone had been turned on and located. I know that sometimes thieves try to deceive people by sending them messages and links that resemble apple's messages, but in this email there were no links and in any case I separately logged in the site of icloud to be sure. Find My Iphone showed me that the phone was online in Romania, while I live in Italy. I immediately started the procedure to initialize it, but after a minute the phone had been already turned off. Anyway I kept doing the initialization but before I could ended it by insering the optional message that could be showed on the screen of the stolen phone, ICloud stopped me and told me that Find My Iphone had been turned off. From that moment it wasn't possible to see this phone among my devices on ICloud. Is it possible that the thieves bypassed all the locks and turned off Find My Iphone? Unfortunately I don't think the procedure of initialization has ended well, since I read that you should at least receive an email of confirmation. Moreover, since the device was offline the initialization should have started as soon as it got online, if I'm not wrong. Do you think my datas are in danger? I read that usually thieves erase all the datas to use the phone as new, and honestly I would prefer them to be erased than to be in someone else's hands. Is there a way for apple itself to initialize the phone or to know if it has been initialized or there's nothing else that can be done? Thanks for the attention and I hope someone can help me.