Lost Mode - useless when Location disabled, even online ?

Question

   Hi,
   My iPhone was stolen by a (not so close) friend !
   I went last week to a party. Only close and casual friends. At some point we talked and compared some apps between our
phones, I locked/unlocked mine several times, in front of the others, they did the same. However, after some time, everyone of us has been engaged in other activities
   At some point I received a call on my other iPhone, and I went outside to be able to understand each other, because it was a pretty loud party ;-)
   Anyway, I left my primary iPhone (for business) on the table.
   When I came back, surprise, my iPhone was missing. Naturally, I suspected a joke or a prank for one of my closest friends. To not embarrass myself, I just tried to use Find my iPhone and see the state of the missing device.
  It was Offline, probably the thief turned it off. I think it was one of us which, when playing around with apps, he saw my LockScreen code when I tapped it to unlock the phone.
  I left the party. after a while, I tried again Find my iPhone.
  Surprise again ! The iPhone was Online but Location Services Off. I tried to put it in Lost mode, but without phone number and
message, just to locate, not to alarm the thief. Result was the same, "Online. Location Services Off "
  After one day, no matter how many times I tried, the thief (probably knowing that I have unlimited plan) continued to use my phone and it appears the same, "Online. No Location Available" (on iCloud, on Web Browser window) and  "Online. Location Services Off" on Find my iPhone app , on my other iPhone.
  My business phone was iPhone 4S, with iOS 6.1.6 (last iOS 6 update). I didn't upgraded iOS on this one because I needed a quicker response when I receive important calls or updates, mail documents etc. And, indeed , it worked like a charm !
  So not being able to locate and get back my iPhone, I was forced to erase it (at least I hope it was erased OK). As a result, I couldn't locate it anymore.  
  Thanks God I had nothing compromising, or business sensitive on that phone! I changed, anyway, all my mail passwords, deleted from iCloud all my reminders and notes etc. Good Bye, good old iPhone !
   I have to mention again, I have unlimited plan, voice and data traffic, so I was not afraid of higher payments, but I thought I should go to the telephone company and request a detailed list of calls after I lost it, maybe I could find a clue, with police help, of course. But I initially thought and trust it would be a breeze to find my iPhone with iCloud, Find my iPhone, Data Roaming, unlimited data traffic if, eventually, it would be lost.
   And I'm absolutely sure I have all of these services active, all my iDevices have the same security settings.
   But, to be absolutely sure, I tried the same thing on my other (personal, non business) phone. iPhone 4S, iOS 8.1.1, this time.
   So I double-checked all security settings I could and deactivated only Location Services, from Privacy.
   Results were absolutely identical ! Even in Lost Mode, my only left iPhone was impossible to be found via iCloud (Web Browser) or from my iPad, no matter how many times and what I tried, after switching off Location Services (again, GSM/3G/Cellular/EU Internet - active - unlimited data plan), Data Roaming On, WIFI On, only Location Services disabled from Privacy settings.
( My only big mistake, I think, was to reveal and use my Lockscreen code in front of my friends. But I thought we are all friends, why wouldn't ?)
  I tried even to put my iPhone outside to have a clear view to satellites for GPS. No change !
  And a major issue (or forgotten maybe, extremely simple feature) is still to not being able to change Lock screen
code/Password, once it was set already no matter what iOS is installed (6-7-8...)
  So, the big Question remains the same. What is the (REAL) utility of Find my iPhone app/Service, when, just switching
off Location Services, even Lost Mode can't remotely enable it ?  Contrary to what Apple claims.
  What should I do in the future to avoid a similar situation ? What I missed/messed ?
  Please help me to understand, anyone who can help me and really knows what he/she's talking about. I'm sick of suppositions, and neverending questions/ideas off topic.
  Thank you !
Below are some pictures taken during testing Lost Mode on my only (now) iPhone:
Started "Find my iPhone" on Web Browser, I switched off Location Services on my iPhone :
Until now, everything's OK, as expected.
As advertised, Lost Mode rest assures us that will enable (temporary) Location Services, until unlocking:
To be sure it's a working data link, I tested "Play Sound", worked OK, then entered a number and message for testing purpose
Starting/activating Lost Mode...
Lost Mode activated with success, Location Services not. Still, my iPhone locked and displays 1234 call
and the message "This iPhone has been lost. Please call me".
I even put my iPhone outside, under clear sky, for 15 minutes, still nothing new on iCloud.
Of course, after unlocking my phone (Lost mode deactivated automatically), but still nothing (normal, in this case, without Lost Mode) and turning back ON Location Services, my iPhone was magically found . I even received a notice on mail, claiming my iPhone was found near my actual position
Here are my screenshots with my iPhone with all data services on, being locked on purpose.
So, what's wrong with Lost Mode, why it doesn't do what it should ? What I'm doing wrong ??
Please help me understand. Thank you !
P.S. I found yesterday that my phone was bought by someone identified by the police. They asked me what I want to do. I asked buyer's name, it's nobody I know, I let him in peace, no further complains. I moved on...     but disappointed by claimed features in iPhone (regardless iOS 6-8) which are not working at all
(at least for me)...
P.P.S I had to remove some pictures (warned when trying to post - to many images)

Answer 1

It shouldn't work like that.
  Apple says contrary, even when you press Lost Mode, the following message appears :
"Lost mode enables Location Services. Find my iPhone and other apps will be able tu use the location of this iPhone until it's unlocked".
Pretty clear to me and tested but No Location detected by Find my iPhone/iCloud. At the other hand, if you looked at the pictures I posted, you'll see on my testing iPhone the little arrow which indicates the Location Services were started in Lost Mode. Just not detected in iCloud/Find my iPhone/Lost Mode. So, useless or not functioning properly (at all, in fact). Why ?
And, from the Apple support page (the link is below)
"If your device is online when you put it in Lost Mode or lock it, it locks and tracking begins (if applicable). If Location Services is turned off on the device, it’s temporarily turned on to track your device’s location."
iCloud: Use Lost Mode
And they claims the same for ALL iOS last versions since iOS 6 (since they introduced Lost Mode)
And yes, my phone which I still have, and the lost one, were both Online, so it could transmit location data, during Lost Mode, just it doesn't happens.