For Android 2.2 (Froyo) through Android 4.3 (Jelly Bean) 'Wipe' will result in a factory reset of a device, including data stored on the SD card, provided "Advanced Protection" is enabled in Lookout's missing device settings section of the app.
Lookout's 'Wipe' on Android 4.4 and up results in deletion of data where permissions allow.
Wipe is a feature of Lookout's Premium service.