Google Play Services includes three pretty neat theft protection options: 1) snatch & run lock; 2) offline lock; and 3) remote lock/wipe. If you install it and go to "theft protection" settings, you can configure all of these. Note that you'll need to give "Find Hub" device admin permissions; it'll show up as an option once you've installed GPS.
As the project account mentioned, remote wipe is probably the least valuable of these features, as any remotely competent attacker will quickly try to take the phone offline to prevent exactly that. However, once the phone has been offline for 10 minutes, GMS can lock it if you've configured "offline lock." So even if someone gets the phone in an unlocked state, they only have a few minutes to screw around with it in an offline state before they're kicked out.
That lock is a bit more aggressive than the standard screen lock and is equivalent to the "lockdown" option: primary unlock only (no biometrics); no notifications shown; and all USB connections closed even if active. At that point, the attacker has a pretty narrow window to exploit the phone before GOS's reboot feature kicks in (default is eighteen hours, but I think most people could set it to 12 without much impact on day-to-day use). Once the phone reboots, it's in BFU state, which is extremely secure.
Even though remote lock/wipe isn't super-useful for the above-mentioned reasons, it is an option in GMS, and you can activate it by going to Google Find Hub in any browser, logging in, and then pushing the command out to your phone.
There is yet another option to remotely lock your phone via just the phone number (so you do it using, say, a friend's phone without having to login to your Google account), but that's currently not supported in GOS due to the way GMS automatically verifies phone numbers.