Losing your iPhone could lead to the loss of your pictures, your money, and everything else that is in your iCloud account.
There are ways to prevent thieves with your passcode from turning on a recovery key. Read [the Wall Street Journal's] complete guide to protecting your data in case of theft. Here is a summary of two moves to try:
Set a complicated passcode. You should always try to use Face ID when in public, but when you can’t, rely on an alphanumeric passcode, which includes letters and numbers. To set it up, go to Settings > Face ID & Passcode > Change Passcode. When selecting a new passcode, tap Passcode Options.
Use parental controls on yourself. Apple’s Screen Time—which lets parents place limits on their children’s accounts—can also help you protect your Apple account. But you have to enable a Screen Time passcode. (Remember to make that passcode different from your iPhone’s.)
In Settings, go to Screen Time and scroll down to set a passcode, if you haven’t already. Then go to Content & Privacy Restrictions, and toggle on Content & Privacy Restrictions. Scroll down to Allow Changes, then tap on Account Changes and select Don’t Allow."