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It locks when the ECM tells it to lock. That assumes the transmission can accept the command. For instance, the 700R4 will not allow the TCC to lock while it is in first gear. If you don't like when it locks, you can have a new chip burned.
The good reason for lockup in 2,3,4 is economy; if you need power just mash the go pedal and the resultant downshift will bring the RPM up above the stall of the TC. Locked/unlocked is only an issue at low engine RPM, i.e. below the TC flash point.
I had a 2,000rpm TC installed and at 40mph in 3rd the tach is running close to that stall point so eliminating lockup is not desirable.