Yep, you don’t need to lock critical again.
As the output suggests, it failed because it was already unlocked, which it should be if you followed the official Fairphone instructions to unlock the bootloader, so that’s fine 
fastboot flashing unlock unlocks your bootloader
fastboot flashing unlock_critical unlocks the critical partitions, so you can flash those (which you’ll need)
Don’t mess with the install instructions, the slots aren’t meant to be used by you. OTA updates just alternate between the slots and they expect certain content to be there. A / B slots are there as a fallback if an update fails.
You start in slot a, the next update is installed to b from a running system, after a reboot the system switches to b, but if something goes wrong will fallback to a.
You can’t install two operating systems at the same time (not for long anyway), just ignore the slots, they aren’t really useful apart from their intended purpose.
I mean you can try a lot of stuff if you don’t lock the bootloader (or decide to repartition the phone), but I’m assuming your goal is to have a usable system in the end 