If I was stealing phones, I'd probably ditch the SIM first too.
Wouldn't want connectivity that will follow me around.
If removing the SIM fails, they'll either:

• panic and scrap it on the spot / throw it as far as they can
• calmly sigh and dump it in a metal can or mesh bag for later

Either way, you're probably never seeing this phone again after it gets stolen.
As such, I'm assuming the main focus is on protecting the data on it, more than the thing itself.

First thing to do is to encrypt it.
Remote lock? Your phone should already be locked if it's not in your hand.
Disable all the features that unlock your phone when at home and other shenanigans.

Encrypted and locked means someone who gets their hands on it is much less likely to log into everything and make your life hell.
A thief probably won't bother breaking encryption.
A lettered gov agency probably maybe might, but that's a whole different topic.
Remote wipe is never guaranteed anyway.
Faraday cages are utterly simple.

A phone thief wants money.
Your saved passwords, accounts, bank app, stuff like that are prime targets.
After that they could sell the phone or its parts.

There's honestly very little advantage to gluing your SIM tray and it's gonna suck for you when you change providers or they issue you a new SIM for some reason.

Don't leave your phone unlocked.
Don't leave your phone unattended.
Encrypt it.
Lock it.
Keep it updated.

I honestly wish traditional SIMs would die already, along with SMS-based and email-based 2FA.
TOTP 2FA is fine the others are mostly smoke and mirror.

No. It’s the Apple or Android account that is logged into the phone and whether it is connected to a mobile or WiFi network that will determine if you are able to remotely wipe it or not. They could remove/replace the sim but the next time it connects to one of those networks and has an internet connection, the remote wipe command will activate.

Your phone should always be locked with a pin, Face ID etc. if it isn’t the person can just log in to it and access all of your data or factory reset it.