How to protect data on a stolen iPhone after removing it from iCloud?

My iPhone was stolen in-flight. How do I know? I used Find My app and it showed the last location and it was not my stop (transit location). I marked it as lost, and my subsequently, initiated the Erase. But I guess all the worst-case scenarios got in my head and I figured removing the device from my iCloud would prevent the thieves from accessing my data in the phone -- in a moment of panic. I honestly don't care if they use the device again, I just don't want them accessing sensitive data so I thought removing it from my iCloud would protect it much better. My phone is password-protected and Face ID activated. Find My is still tracking (30 day grace period, and "cancel erase" is still an option). So I don't know... did I screw up by removing the device from my iCloud before the erase was completed? Cos I was like: the erase will only get triggered when online. How can they go online if they're not able to crack my passcode or hack into my phone. And if they were able to crack my passcode, how can I protect my data? :( It's all so confusing.

[Re-Titled by Moderator]