For your future risk of bricking the phone it doesn’t matter if you’ve locked it in the past, that’s correct.
But, the risk isn’t only present with FPOS, you can brick it with any OS you install if something goes wrong and you didn’t make sure fastboot flashing get_unlock_ability_ is 1 beforehand.
The CalyxOS device flasher just checks that for you and stops if it isn’t, that’s the part that makes it safer.
You don’t have to, there are some (banking) apps that check for that and will refuse to work and there are several security benefits that are only in effect if the bootloader is locked.
Whether you can unlock the bootloader again by issuing fastboot flashing unlock or not (which means it’s bricked if you can’t boot into the proper Android userland)
If it’s 0 don’t lock, reflash the ROM you were trying to install, check again. If you want to lock the bootloader, don’t boot into Android userland after flashing, there’s a high likelyhood that resets the value and you definitely shouldn’t lock after that.