You did post this already but your screenshot this time makes it clear what the problem is. This is no bug, at least not a SketchUp bug. Lock works on groups and components. Your screenshot shows that you only have loose geometry selected. Create a group or component to contain the geometry and then you can lock it.

I expect there's a simple explanation for it. Share your SketchUp file so we can see what you are working with. Also please update your profile. It says you are using SketchUp 2014.