What does the lock icon on the Hierarchy window do ?

It doesn't lock the selection (which would be handy)

 

I've reported it as a bug: https://fogbugz.unity3d.com/default.asp?767307_pricsi8j6mq4903r

 

Looks like it keeps the hierarchy tree from automatically expanding as you select objects in the scene.

 

I think you're right.
Though I think this could be useful I rather have an option to lock the selection of an object in the Hierarchy. This would be VERY handy when working on animations in the Animation Window; where you can use a lock but then also the animation is locked and you can't switch between the several animations of the same object.
Or sync the Animator Window and the Animation Window; vote for it here: https://feedback.unity3d.com/suggestions/sync-animator-and-animation-windows
(And change the name(s) of Animator and Animation )

 

What it SHOULD DO , is stop unity from rearranging objects in the hierarchy however it sees fit. This has to be on of the most annoying friggin things ever. Whenever you enter playmode, unity will just rearrange everything you have taken time to place in order in the hierarchy, thus ruining your efforts over and over.