If you are seeing the Theft Protection section state "Turn on" it may mean the Scream feature isn't enabled.
The newest version of Android requires granting Lookout an exception to the Do not disturb feature of Android.
Please open the Lookout app and tap Theft Protection.
Tap Scream at the bottom of the page.
Tap the green, "Enable Scream" option.
This should now change Theft Protection to "On"