How does Lock Download work?
If Auto-delete episodes from device when played is enabled in Settings > Downloads, Player FM for Android deletes the file of a downloaded episode when you're done playing it or if you mark it as played.
If you don't prefer this to take effect on a specific episode, you can use the Lock Download option, which is found within the 3-dot menu next to the play button of every episode. When a downloaded episode is locked, its file will not be deleted by the app from your device.
If you want to unlock a downloaded episode, you can then use the Unlock Download option, which is also found in the episode 3-dot menu.