The Pro.settingsConfig file possesses XML comment tags (), meaning they're being ignored or not being set. This is the reason ArcGIS Pro is not locking these settings. Removing these brackets will uncomment the argument and allow the settings to be locked, assuming the rest of the workflow outlined here is followed: https://pro.arcgis.com/en/pro-app/latest/get-started/application-setting-management.htm.
If ArcGIS Pro can still not recognize the Pro.settingsConfig file after removing the XML brackets, request to reopen the case and work with the previous analysts to determine the further cause of the problems.