That’s very good news.
Now you are at the point you were before locking the bootloader.
So your device should boot.
It depends. For some there was only the solution to send the device in (if OEM unlock was disabled and so the device was hard bricked). For others the solution was to unlock the device again and use it unlocked…
If you really want to have the bootloader locked, then you have to wait until the next /e/OS update. Then you’ll probably be able to successfully lock the bootloader. BUT this locking will do a “factory reset”. So you need a good backup then or have to setup all from scratch.
Before locking the bootloader please always check OEM unlock status! I’d never lock it if OEM unlock is disabled as this could lead to a bricked device. You can check OEM unlock status in developer options or via fastboot (fastboot flashing get_unlock_ability results in “1” for “OEM unlock” status “enabled”).
Btw.:
IMHO this message is a “warning” but no “error”. You’ll only see it when booting (what probably won’t happen too often) and you may get used to it. Still, as mentioned above, you’ve to decide for yourself if an unlocked bootloader is ok for you or not.