LockXLS has 2 ways to setup Protection Options to files in your project:
To use the first method you should use the Change Protection Options ... button.
These options are common for all files in the project. If file doesn't have its own protection options - it is locked with options specified by this button.
In some cases you may need to use different option for a specific file in your project. In such case you should open settings of this file and specify that it has own protection option:
Use individual Protection Settings for this file is the option you need. When you check it, button Protection Settings ... became enabled. Use this button to specify options for this file only.