I have a former employee that set Activation lock on Mac computer and refuses to unlock. Is there anything we can do to unlock computer?

Apple will help you if your company has the original purchase receipt with the device serial number on it.

Here's a link about removing Activation Lock --> How to remove Activation Lock - Apple Support

See the last link for Start an Activation Lock Support Request.

And consider using Mobile Device Management tools on company owned assets, which would have prevented this.

Intro to mobile device management - Apple Support

Proof of ownership is required for Apple to do that for an individual. That usually means the original purchase receipt and personal ID. For your company, I have no idea how you would do either. But you should have purchase records and a mechanism to ID the company.

You might want to consider guarding against this is the future.

You can of course take the guy to court for "destruction" of company property.