Looks like you have installed the free limited edition of the launcher which doesn't support lock functions.
To check which version is installed, find your device in the "Devices" tab, then click More - Detailed information:
You will see a list of parameters including the launcher variant. It may be master or opensource. If you see "opensource", this means you've mistakenly installed a free limited version from the website.
To fix the issue, you need to remove the limited edition, and install the full version. See here how to remove the administrator application if you do not want to factory reset your phone.
To get the URL of the master launcher, go to the Applications tab and search for com.hmdm.launcher. You will see the launcher URL.
Note: the easiest way to send the URL to the device is to send it in the SMS.