what does it mean to “lock your phone”?

The phone only needs to be locked for automatic backups to iCloud (while the phone is charging and connected to wi-fi). It does not need to be locked for the "Backup Now" option.

You can lock the phone by pressing the right side button or you can just let it lock automatically based on the time chosen in Settings > Display & Brightness > Auto-Lock.

It means to press the side button (sleep/power) to turn off the screen. This locks the phone/screen, as it requires your Passcode/TouchID/FaceID to unlock it.

You can of course manually initiate the iCloud backup by going to Settings->Account(top of Settings)->iCloud->iCloud Backup->Back Up Now. No need to lock the screen then.

Simply press the Side button or Top Button once.