You should never deactivate the PIN protection on your SIM card. If the PIN is deactivated, authorities or other persons can use the card themselves to gain access to messengers, for example.
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If your SIM card is not protected with a PIN, other people can theoretically remove it from your phone and insert it into another phone. They could then try to access your accounts that use your SIM card's phone number. This attack is similar to SIM swapping. Here, people trick your provider into sending them a copy of your SIM card using your personal data. In an unobserved moment, your SIM card can be inserted directly into another phone without pin protection and without your knowledge.
Note for anonymous SIM cards: If you use anonymous SIM cards, you often cannot activate the pin lock as you often do not know the pin / PUK associated with the card. You often receive these cards with the pin deactivated. In this case, you should make sure that all your messengers are secured with a second factor (e.g. PIN) and that you do not use the card itself for two-factor authentication or logins.