There is no lock on this screen. There is only a lock if the setting requires an Administrator
(someone with the role of Administrator) to make the changes (i.e. Security). If anyone can make the changes then there's no need for a lock.
Make sure you're logged-in with the role of Administrator to see the preferences that you can lock/unlock.
EDIT: based on OP's new comments:
- Log in as a user with Administrator rights.
- Open
System Preferences
and selectSecurity & Privacy
. - Click the lock icon and authenticate.
- Click the
Advanced
button at the bottom and enable theRequire an Administrator...
in the popup window. OK
the change and then lock the S&P preference pane.
Now when you open the Sharing
preference pane you will have your lock back.