It makes all actors from that group "unselectable", in other words, by locking a group you can no longer select any actors from it (until you unlock it again, of course).
Basically is the same kind of feature you have in programs like Photoshop, Gimp, etc, where you can lock layers with the same effect.
It's a useful and long overdue feature which allows you to edit anything within the map without accidentally select something that you want to be effectively "locked" into place.
Before, the only alternative was to hide these groups, which meant editing some stuff completely blind, especially if what you're hiding is BSP, otherwise you would have to be extremely careful and pray that you didn't mess anything by accident (really troublesome, especially in more complex maps).