My MacBook Pro M1 was stolen, and thieves got access to it. What to do?

Have a look at > If your Mac is lost or stolen - Apple Support

Re: “And this guy became really fast, really pushy, saying that I need to remove that Mac from my list of devices in FindMy.”

The thief or fence wants you to do that to release Activation Lock, so they can “make your Mac their own” and have a valuable computer to keep for themselves or to resell for ill-gained profit.

Often thieves who send messages like this will lie their heads off about wanting to save your data from being published on the “dark Web” - about being your “friends” but needing your cooperation.

Typically with iPhones they have no access to your data and nothing but threats and lies. But even if they did have access to your data, giving them the device as well would be no guarantee that they would leave your data unplundered.

Re: “Does it mean he has full access to my lost Mac and to all my data, and this "Lost mode" doesn't protect anything?”

Until your Mac learned that it was in Lost Mode - which would require an Internet connection - I believe that it is your local user password that would secure (or not secure) your data.

Activation Lock for Mac - Apple Support

I wonder if the thieves got into your user account but then discovered that you were using Find My, and that they didn’t have the Apple Account password needed to disable it.

If you had the Mac set so that it automatically logs in; or the thieves stole it while you had it unlocked; or they knew your local password, that might be a possibility.

What information did you provide when you marked the device as Lost in Find My for option contact information when found:

• email account?
• phone number?