So I was checking online using this find my phone thingie and I found something called Lost Mode, what is that supposed to do?

Cool. I didn't know you could set a 4-digit passcode lock remotely. So it lets you program that from the Find My iPhone screen on your computer?Lost Mode locks your missing device with a 4-digit passcode and can display a contact phone number right on the lock screen. And while in Lost Mode, your device will keep track of where it has been and display its recent location history when you check in with the Find My iPhone app.