If the wallet is locked, the wallet cant stake, aka the wallet cant conferm transactions that is the thing the staker gets paid for. Staking in a wallet is just a smaller version of a masternode. Both needs to be connected to the internet to work on the blockchain to get paid. No work, no reward.
Locked wallet = You cant stake
Locked but staking = it is locked but open for staking still. That must be what Neo is using.
Open wallet = hackers can steal your coins.
Remember wallet needs to be manually set to “unlocked but staking” every time you close and re open it. In future I guess we can make a option so it always is locked but open for staking and dont 100% lock auto as now.