*#06# only pulls up your IMEI number. Not a lot can be done, simply by having a note of an IMEI of a phone.
You cannot be "scammed" out of money/data etc as a result.
A nefarious individual could report your phone as stolen, giving the IMEI as an identifier - but it's unlikely the phone would be locked down.
Even if it was, if you have proof of purchase, you can confirm the phone as legally yours and not stolen.