Means capabilities are better when it is unlocked.
There is a option in settings to lock your phone with a code you select, you can turn the lock on and off any time you want.
Locked means it will only work with the carrier it was intended for. Unlocked means it will work with any carrier that supports the technology, and the carrier bands.
Most phones with a carrier brand on the device will be locked to that carrier. You would need to have the carrier unlock it. The only valid reason for locking a phone is to keep you under their contract. If you paid an unsubsidized price for the device, you should be allow to request an unlock code.
Keep in mind, that a phone unlocked is still confined to the technology and bands. A GSM phone will never work on a CDMA carrier. A device that has no LTE bands will only be able to connect with 2G or 3G services - no matter what the carrier says.
In the case of the 521, it will work on any GSM-2G band, and all GSM-3G bands with exception to the 900Mhz band. There is no LTE radio, and there is no support for CDMA, so it will not work on Sprint, nor Verizon.
Locked phones can only be used on the indicated carrier's network. Unlocked phones can be used on any compatible network. Most unlocked t-mobile and att phones will work on one another's networks.