What PIN do you expect the thief put in in this case? You haven't set one up. how do you expect the system to know a pin?
The phone probably needs to re-ask for the PIN, for the cases where a PIN is set and the thief steals it unlocked and had time to disable Find My Phone, but it cant do anything for the user who doesnt set his PIN. All that Apple can do is force people to set their PIN if they are using the phone as a wallet.
Oh... I'm not debating the importance of setting (or not) a screen lock PIN (or the duration before it auto locks). That's dependent on an individual's personal comfort/compromise with security of their personal information versus "hassle" of constantly entering a screen lock PIN.
That being said, my phone is associated with my MobileMe account which DOES require a password to access. Even though I can set my web access to keep me signed in for two weeks if I go to the find my phone feature it requires me to put my password in AGAIN even if I just signed into MobileMe with it 15 seconds ago. I strongly believe that in order to maintain the integrity of the find my phone feature from end to end it should require the MobileMe password to make changes on the phone as well... regardless of whether a screen lock PIN is in place or not. And yes the phone should know the password... its the same one for the MobileMe account that is "finding' it in the first place.