My Classic no longer works (yes, it was a sad day), but if I recall correctly (and I'll admit, I'm struggling), the volume "lock" in settings is to control the maximum volume that the general volume control can reach. Specifically, if the general volume control is at 50% (half way), when you change the volume in Settings, once you press the Play button, the indicator bar above the arrow will drop back to the point of the general volume.
To put it another way, (again, if I recall correctly), that setting is made up of two parts:
- a bar across the screen with a black fill-in (part filled-in)
- an arrow pointing up at the bar
When you change this setting, the bar and the arrow move together, but once you press the Play button (to lock the maximum volume), the arrow reverts back to the actual level of the general volume control, leaving the filled-in bar at a higher level. If my description does not match what you see, then I've got this wrong, but if my description fits your scenario, then my explanation is good.
Edit: I may have this the wrong way round: the arrow stays at the higher setting, while the filled-in bar reverts to the lower (actual) level.
I mention this because your statement:
I want the same loud volume for all songs as I use an external mini speaker to listen on when on holiday.
would appear to be something different.
The volume control in Settings is know as the Volume Limiter (because it limits the maximum volume possible on the Now Playing screen's volume control). Once you have set the Volume Limit to the right hand side, go back to the Now Playing screen and you can turn the volume up to the new maximum limit that you have just set.
To make all songs produce the same volume as one another (which I think is what you are trying to do) cannot be done "on the iPod". Each recording studio and, recording engineer and music producer has their own settings for volume. So songs on one album may (and often are) at a different volume to songs on another album, even by the same artist.
tt2 may recall detail of software that can attempt to make all music appear to be at the same level (volume), if that's what you're trying to do. It's gone from my head.