Okay. Well, there are two different ways phones are locked or unlocked. We're only dealing with one, but I'll mention the other briefly.
The other one: Phones can be "locked" to a particular carrier. You have to use that carrier while you have the phone unless you obtain a network unlock code and enter it, which will disable that and let you use your phone on any carrier it technologically can.
The one we are dealing with: Your phone was locked in the bootloader. The bootloader is base code that runs before anything else does and everything else requires the bootloader to work before it executes other code. Think of it somewhat like a BIOS in a computer, it that doesn't work... game over.
What I've seen and heard about frequently when relocking your bootloader is that "something" has changed, and the lock no longer requires the same "key". So the embedded key in the hardware to unlock it for use doesn't work. So it tries to start the device, reaches that point, tries the key, and it doesn't work. So then it can't progress. You also may not reach a point where you could get into "bootloader mode" and poke at it with fastboot to try to get it unlocked again. There's no industry standard way of doing it, and some companies are better about fail-safes than others. Honestly, I don't know where Sony falls on that spectrum. So if you have issues, it's possible to make it (nearly) completely bricked.
Sometimes you can open it up, solder or unsolder a jumper or lead and get into it that way. There's not much chance of that on modern phones. Sony also could pull the chip and reprogram it, but the cost would make that option laughable. Plus, your warranty generally becomes invalid if you unlock bootloader code, but check if you have one.
So the reason I'm advising caution (or just find a new ROM for it on XDA) is because there is a very real danger of making the phone completely unusable. And since you've already unlocked the bootloader, there's no reason you couldn't find a better-than-stock ROM out there to customize your phone to your needs.