Works for me, for some reason
Same problem here.
Bought my MBP about a month ago, and im sure it was locking at that time. Now its permanently, unchangeably unlocked in every preference (except for Accounts + Parental Controls): that is, it's unlocked and when you click on the lock, you see animation of the lock that shows an "attempt" at locking, but it doesnt lock.
Mac OS 10.6.4
15" Macbook Pro (2010), Core i7 2.66 GHz, 8GB 1067 Mhz DDR3
UPDATE (5 minutes later):
OK. Now its working. And I dont know why. But here's what I did. The places where the lock was "broken" were prefs that I access alot (like Network). But the fact that Account's lock /did/ work, made me want to check every single lock to see if there were any more exceptions. For whatever reason, I started at the bottom of Prefs, going through each one: Accts,Date/Time,ParentalCntrls-- noting that some were broken (Date/Time), one "worked" (ParentalCntls), and some had no lock at all (Speech, et al). Then, when I got to EnergySaver it worked. Or rather it was already locked. Which was strange. I unlocked it, then locked it. When I returned to the previous broken locks, like Network, they were now working. Go figure.