From: Madrid, Spain
The locking of units is used by the game designers to represent different things, based on the historic situation the scenario models.
For example, as Lodilefty says, most indian villages have two units. One is a movable warriors unit, the other represent the "tribe" which is fixed on their village to defend it and keep it under his control.
Its similar with fixed garrisons in towns and forts, which usually are locked in place unless attacked (then they are set free to move).
Many times, units are locked for a turn or two to represent surprise or unpreparedness. For example if in a scenario a surprise Indian attack is represented, on turn one the Indians will be able to move, but the "surprised" colonials will not be able to move for 1 or 2 turns.