Compromise between privacy/security and losing a phone

To state the obvious, it’s best to think of how you can avoid having your phone stolen or lost in the first place. Have situational awareness, don’t have it out in public if you don’t really need it, etc. Aside from that I think it comes down to deciding whether you want better privacy by only using location services as needed or if you prefer the ability to track your phone while granting Apple/Google the same ability. FWIW there are various ways companies track your location so if you haven’t ensured you’re protected from that, leaving Find My iPhone/Device disabled might not stop Apple/Google/whoever from tracking your location anyways. You can also look into alternatives but I doubt they’re as functional as the native Find My options for iOS and Android.