Actually is a friend phone. A new Lumia 710 but I had this same problem when I bought my Samsung Focus. After some days my Focus starts to work with "Find my phone".
What happen is that the phone only receive a SMS message with something that looks like this:
The phone has the option "Connect to these features faster" and "Save my locations every few hours for better mapping" enable.
The phone has internet connection.
The phone has not battery save enable this momment.
Another question is related but did not mention the SMS.