I do not see the Unlock icon in the SETTINGS => GENERAL or in the SETTINGS => PRIVACY & SECURITY pages.
There is no "Unlock" icon, and the text setting for Passcode is not under Settings > General or Settings > Privacy & Security, so that might explain some of the difficulty that you are encountering.
If you want to remove the Passcode requirement........
Tap Settings
Tap Face ID & Passcode
Tap Turn Passcode Off and follow the prompts
Note.....by turning off the Passcode requirement, anyone who picks up your phone will have free and complete access to change the settings on the phone and lock you out of your own phone.