Edit: I should clarify that the embedded video clearly showed that a number of the iPhones she had were still able to be used. Perhaps the owner didn't or wasn't able to iCloud lock them, but that's what I originally meant.
but that still leaves the possibility that it isn't locked, and therefore it is worth it for theives to steal it. Even just the chance that it's not locked would make it worth stealing.
It doesn't need to be. If you have a passcode, the phone can't be used unless the correct passcode is entered. If you try to factory reset it, you can't get past the setup wizard if find my iphone was enabled for the phone prior to the wipe. Note this doesn't require that the phone receive notification that the phone has been marked stolen. So the only way you can use the phone is if find my iphone wasn't set up prior to it being lost.