The one of many reasons someone may want to lock a text message is really very simple. Perhaps its something important and they want to reference later in text. Perhaps they often times delete old messages but want a picture of their girlfriend to stay there. And not to mention, deleting old messages but having a single message in a thread locked, will keep the contact from being deleted from current messages. The idea being, you can quickly text them again later. All of these are tricks people LOVE to use on Android but dont seem to have anything like it on iPhone.
It's not about keeping it private, or necessarily saving pictures. Its about keeping the thread open even if you want to delete the bulk of the junk in it. On my droids, I used to keep pictures my girlfriend sent backed up on my memory card, but also in the text message. I could lock it and look at it later. It's a very basic feature