What differential does it lock? Does it lock the center or rear differential?
Is the car full time AWD or does locking the differential engage AWD and the rest of the time the vehicle is FWD?
Locking the center differential will power the rear wheels also which spread power over the front and rear wheels which is useful for getting the vehicle moving. If it's locking them together it could be a bad thing because front and rear wheels travel different distances during a turn. It will cause slip or wear on the differential. On full time AWD cars, the center differential usually allows for some slip, ie viscous differential, because of the different distance traveled.
Locking the rear differential is useful for traction also if the differential is normally open. With an open differential, the wheel with the least traction will spin and the wheel with traction will just sit there. Lock the rear diff and it will cause both wheels to spin at the same rate so it helps you get out in some situations. Limited slip differential works in a similar fashion but it allows some slip between the two wheels.