My iPhone was stolen and I have filed a claim to get a new one. When I receive it the old one, wherever it is, will be deactivated. I have my messages synched onto my Macbook pro also, I have photos and some saved voicemails there that I don't want to lose, will all of my messages also be deleted or will they be alright?
When you wipe an iPhone via the Find My.. app or website it will only erase the iPhone itself. Any data you've synched to the cloud will still remain on the cloud.
Regarding photos and saved voicemails, as long as your iCloud backups were going ok on the phone you should be able to restore everything as-is back to the new phone.
Photos would also already be on your MacBook Pro if you had iCloud Photo Library enabled.
If you go to iCloud.com, sign in, then click on the Find iPhone option near the bottom right, you can put the phone into "Lost Mode", which would still allow someone to track the phone down. If you haven't done that yet you may want to enable that feature first. Then if you're sure you won't get the phone back you can click Erase iPhone as you had been planning.