It should be singular ("phone") because each of the people (generally) have a single phone, and that's what you're talking about: the person's phone.

With "Male millennials have a try-it-once attitude.", it's the same rule: imagine you're talking about a single person. If they have one attitude you're interested in (eg their try-it-once attitude) then it's singular, if they each have multiple attitudes you're interested in then it's plural. For example, if you were talking about each male having several different attitudes (towards different things) you might say "Male millenials have different attitudes to their parents." for example.

So there's a sort of grouping effect: start with the individual, so it's the individual's attitude or the individual's phone, singular or plural as the situation requires for the single individual. Then when you talk about multiple individuals you pluralise individual (or male, or person, or whatever) but leave the thing they possess (the phone, attitude, etc) as is.

It should be singular ("phone") because each of the people (generally) have a single phone, and that's what you're talking about: the person's phone. When someone reads "65% frequently check items on their phone while in-store", they will imagine a generic person checking their phone in a store, not a survey's worth of people in thousands of different shops.

With "Male millennials have a try-it-once attitude.", it's the same rule: imagine you're talking about a single person. If they have one attitude you're interested in (eg their try-it-once attitude) then it's singular, if they each have multiple attitudes you're interested in then it's plural. For example, if you were talking about each male having several different attitudes (towards different things) you might say "Male millenials have different attitudes to their parents." for example.

So there's a sort of grouping effect: start with the individual, so it's the individual's attitude or the individual's phone, singular or plural as the situation requires for the single individual. Then when you talk about multiple individuals you pluralise individual (or "male millenial", or person, etc) but leave the thing they possess (the phone, attitude, etc) as is.

EDIT

I should add that while "Chinese male millennials depend heavily on their phones when shopping in-store." is technically not correct according to the rules I explain above, you will see this usage a lot, even in magazines etc: it's common to the point of being broadly acceptable. Many (perhaps most) people wouldn't take issue with it. But by being precise you help to avoid confusion.