The place to check is settings>General>Lock/Unlock>On. It is not Auto Lock. Auto lock puts the iPad to sleep within a certain time frame depending on what you choose in the settings.
A Quick story.... I purchased the OtterBox Defender case for my iPad Air 2 assuming that it had magnets just like the other OtterBox Defender case that I had on my iPad 3. It took me about two weeks to even realize that the iPad wasn't locking or unlocking when I opened and closed the case. The moral of the story is do proper research before you make your purchase. I wish that I would have. 😁 My point is that if you do have it set up properly in the settings, your case most likely doesn't have magnets in it.
Another way that you can check is to run a refrigerator magnet across the edge of the iPad. If it locks and unlocks the iPad when you do that, you know that the setting is working correctly.