Just to preface this, it may have always been the case but I'm fairly sure it wasn't.
In 2020 when a selection is locked and you're in preview mode you can still select it, this means that if you want to select something underneath (usually the reason I lock things) you can't without moving the thing you're trying to select up or hiding instead of locking. Illustrator tends to add these things and create a checkbox somewhere allowing me to turn it back to how it was before, anybody have an idea how to revert this?
I am working in Illustrator 2020 and cannot reproduce the behavior that you're describing. When I lock an object, either with the keyboard command, or by clicking on it's lock icon in its sublayer in the layers panel it stays locked and unselectable.
Please describe what method that you are using to lock objects.
It's solved now but thanks for trying to reproduce it!
You may check if you can disable an option called "Select Objects on Artboard and Unlock" (or some similar term) in the Illustrator Preferences > Selection & Anchor Display section.
It's a pretty new option that allows you to select locked objects on the scratch area and unlock them immediately. That new way may probably have to be improved.