antsyboy Do eSIMs add any extra privacy / security risks over regular sims?
eSIMs do provide protection against SIM swapping attacks, as you say. To install the eSIM you need to enable privileged eSIM management, which means Google will receive your IMEI. Either way, your mobile carrier knows your IMEI. Installing eSIMs requires having Google Play Services installed in the owner profile, but you can uninstall them once the eSIM is installed.
antsyboy Would turning off the sim in settings be equivalent to removing a physical sim card from the phone?
I believe so, but not entirely sure - somebody else might be better able to answer that.
antsyboy Does sim locking still work with eSIMs?
Yes, it does. Just make sure you can get your PUK code from your carrier, in case you ever forget the PIN.