I've been paying attention to this thread from the start, and it is an interesting (yet worrying) issue.
I did some tests on a friends phone as they were planning to sell it. I can pretty much confirm everything that's been said so far - an erase/restore will stop the phone from receiving iMessages, as will just turning iMessage off and removing the SIM (if you turn iMessage back on, it will only reactivate with the apple id, not the phone number).
So if you're selling a phone, make sure you erase all content, and don't put your SIM in it at all (ie don't activate it!). If you absolutely must show it working, make sure you erase again before handing it over.
If your phone gets lost/stolen, then you're in trouble. I don't know for certain if a deactivated SIM will still activate an iPhone (or even if the number is stored on it), but you've got to hope that the remote wipe works as well. Sadly as it currently stands, if your phone does get stolen and you never see it again, you can't ever be 100% sure that no one is seeing every iMessage you send/receive