I don’t know on your device (some features aren’t available if you’re not rooted OR on some android versions) but on mine I can force data ON once the phone is in ‘stolen mode’. So for instance if someone change the simcard the phone will get into stolen mode and he won’t be able to disable data. However if the guy stole my phone and disable the data right away the phone won’t prevent it and I won’t be able to reach the phone with internet.

In this scenario you can just send an SMS. SMSes are the the most reliable way to control your phone anyway (even if it’s less practical).