I have had this happen twice now, and I'm not sure how i fixed it the first time, but what happens is, when shift is held while clicking to lock an item it just display the item info as if clicking normally. It stays like this and locking/unlocking becomes impossible. the way i got around this at first was to just use gcfclient to unlock everything and go back to cfclient without using the lock feature. I think this might be caused by changing bindings while more than one client is open (under one user). in which case its more of a user created error than a bug.
Is the 'showicon command available or work with the CF Client?
If it is, it should add small text next to an item in your inventory that says things like "worn" ("equipped" ?) or "locked" etc. That should help with determing if an item is locked or not.
