The ability to 'lock' the settings is what enables Volume Limiter to control the volume on the computer, system-wide, for all users - whether or not they have the app installed in their account.
This essentially turns the menu bar app into a remote control - which talks to the system-wide process - to limit the volume. That means, even with the menu bar app closed (or deleted!), the volume will still be limited. For this reason, please familiarize yourself with how the lock and unlock works.