No, you are not missing anything.
If you want to boot TWRP, you’ll have to unlock the bootloader.
And be aware that TWRP doesn’t do a full backup of the data partition, as TWRP doesn’t backup Internal Storage, you might want to copy that to somewhere safe additionally (can be done via USB when TWRP is running, for instance).
I suspect we might be referring to different things.
“unlock the bootloader” could mean 1 but also 2. Note that 1 is the first step of 2.
When I used this phrase I was referring to the full steps in 2. Maybe the error you’re getting means you have to do 1 (which is only the first step in 2 and doesn’t wipe your data partition).