According to Google Play, we can remote lock our Android device with our phone number if it is turned on. Is there a privacy implication with this or is it just doing it through the cell network? It's seems to be separate from Google find my device since it is a separate toggle.

I once tried that with Sandboxed Google Play (only Network permission) and it didn't work.

That would likely require an extension for GMSCompat, and the GooglePlayServices would need to use accessibility to do that

But I am not sure why you would lose your phone unlocked? Still could be somewhat useful