You have to think about it from the attacker's point of view. Anyone they sell it to is going to power it on to test it. Once it's powered on, it'll ping back.
Any black-market buyer knows to pop the SIM anyway before powering it on, and turn on the phone without any publicly-accessible Wifi access points available. But then they still have to restore it in order to see if it's iCloud locked, and the restore pings, too (it requires an Internet connection to Apple's servers to download a signed OS.)
What it comes down to is that stolen iPhones just aren't worth that much, since there's no easy way to remove an iCloud lock and the parts themselves aren't worth a lot. The good news is that far fewer iPhones are stolen these days (source: http://www.cbsnews.com/news/iphone-thefts-down-thanks-to-app... ), and thieves are pretty quickly learning that.