In the ESE Agent, a padlock icon on a component (e.g. a VM or host configuration) indicates that the component is of importance, and that set behaviours that may impact that component negatively will be overwritten. To "lock down" a component in this way, include the component directly in the backup selection.
For example, you can right-click a Hyper-V root node and go to Offline components to choose what happens if a component gets added or removed ("Warn and retain" or "Ignore and remove"). If you want to override this behaviour, you can include the component directly in the backup selection to ensure that it is retained. The appearance of a padlock icon on the component will indicate that an override has been set.
This also applies to MS SQL and Exchange databases.