iPhone XS Max lock button not clicking

This button doesn’t actually “click.” It does have haptic feedback when you use it to lock (no feedback for unlock).

Check Settings > Sounds & Haptics > System Haptics should be ON.

If still an issue, try a simple restart. If a Restart doesn’t help, try a Restore. Otherwise, it might be a hardware issue with the Haptic Engine.

Restart: https://support.apple.com/en-us/HT201559

Restore: https://support.apple.com/en-us/HT204184

Anything is possible, but it’s a pretty tight fit there. If you don’t see anything on the outside, I doubt something could have sneaked in underneath. But mechanical objects do break...