I have gps on, wifi, mobiledata -on . I have "on green" the find, lock, alarm on SAFE app. I go onto mysafe.com and choose the android icon, click locate, and round the circle goes until it says perhaps the phone is "turned off" (it's not).
Maybe there is certain trouble with F-Secure SAFE Finder feature;
Recently created topic --> also about potential related description (but where possible to 'locate', but not possible to 'lock' device):
Where was only some unofficial suggestions (and feedback did not comes); With your situation -> what if something preventing to load/get information under portal-website (or kind of this and it trigger 'wrong' suggestion about 'phone' is turned off);
Do you able to try contact F-Secure Support Channels and ask them for certified help with proper investigation?
Or if not -- maybe later comes reply/response from official F-Secure Staff/Team under community;