You have Settings -> My device (if using the Tab view) -> Sound -> 'Screen lock sound' checked?
And you have 'System' turned up sufficiently in the Volume controls to be able to hear it?
It works fine for both circumstances on my phone.
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Which lock activity are you referring to? If I wait for the screen timeout to lock the device it doesn't make any sound; however, if I press the Power button to lock the screen it does.
Sent from my rooted, debloated, deodexed Sinclair ZX-80 running CM -0.001 using Tapatalk