Would this loophole for stolen MacBook Pro Retina work, or can macOS detect this and stop it?

No. The firmware lock prevents even this. Firmware doesn’t reside on the drive, it resides in a protected “memory” (not RAM) area that holds the boot, encryption, management, etc. software.

In fact, if you want to test it, set an EFI lock and remove the drive. Then try to boot. You’ll notice that the password is still there

As someone who carries my MacBook Pro Retina on me at all times, and plans on a somewhat pricey upgrade to a newer model sometime in the future, I'd like to ensure I can make this thing a glorious paperweight for any would-be thief.

You’re in luck because the new Mac computers with the T2 chip take security much further with Secure Boot and whole disk encryption. Once these features are enabled, would be thieves would end up with great looking paper weights.