LineageOS isn't designed to be used with a locked bootloader. Most devices supported by LineageOS don't support relocking the bootloader with a custom key, and for the devices that do support it (mainly Google and OnePlus phones), it's not recommended to do this on LineageOS.
Some Android distros, including CalyxOS, are only intended to be used with a locked bootloader, and support over-the-air upgrades without needing it to be unlocked.
That doesn't sound right.