The Locked Warehouse option is visible on accounts or client accounts with Multi Warehouse Allocation disabled. A Locked Warehouse refers to the warehouse where the order should allocate. As long as two or more warehouses exist and the order is pending, you can manually select a different warehouse from the drop-down.
An Allocated Warehouse refers to the warehouse where the order is allocated. Accounts with Multi Warehouse Allocation enabled will only see this column within the order details, and manually selecting a different warehouse is unavailable since MWA rules determine the allocated warehouse.