Locking and unlocking the bootloader will wipe userdata as well, yes.
Mostly because TWRP (so far) has no access to encrypted userdata, so it’s not really that useful for backups. All the custom ROMs ship their own recovery, which takes care of your basics like sideloading and wiping data.
You can do “interesting” things with TWRP and adb. But in the unlikely case you have to, you can just fastboot boot TWRP, instead of installing it and causing yourself another hurdle for OTA updates.