"To lock the screen" means to secure your device by preventing unauthorized access to its contents. This action typically requires a password, PIN, fingerprint, or facial recognition to unlock the screen and use the device. Full definition
Users can now adjust the background of notifications displayed on lock screen from its default opaque look to a completely invisible background. (android.gadgethacks.com)
If you have security set on your device you also get the option to hide sensitive information from lock screen notifications. (pocket-lint.com)
Even with lock screen notifications now coming as standard on Android, it's still a really useful feature. (androidcentral.com)