I've recently bought myself a new mountain bike (my first since my schooldays...) and it has front suspension with a lock-out function. Suspension is new to me and I'm not sure how to use the lock-out. It seems I have to stop and take my weight off the bike to lock-out the suspension - is this correct? Or should I be able to operate the lock-out whilst sat on the bike and I'm just not turning the lock-out hard enough? As I'm not really sure, I've avoided turning it too hard in case I do some damage.
Less expensive forks have a mechanical lockout. This type of lockout is only usable when the fork is unweighted. Think of it like trying to deadbolt your door when it's still ajar.
Higher end forks- coil or air- use a hydraulic lockout. There's a lot going on inside them but to simplify things a bit, there are two valves in the damper of most mid-high end forks that allow oil to pass through and both only work in one direction. One allows oil to pass through when you hit a bump, the other allows oil to pass through on the rebound from that bump. When you engage the lockout on one of these forks it basically closes the valve that allows oil to pass through when you hit a bump, however the rebound valve stays open allowing the fork to return to it's original position.
So back to your original question-
No, there is nothing wrong with your fork. The lockout is working as expected and don't force it or you might break it!
With an inexpensive coil sprung fork the lock out is often only usable with no weight on the fork. So yours is probably working normally.
Lockouts are most useful for sprinting and climbing, when your weight moves forwards and your putting in more effort that you don't want to waste.
More importantly, don't forget to free it again if you get enar anything bumpy, you can damage a fork like that.
(Personally, even with a remote lockout I rarely use it, except on perfectly smooth tarmac.)
You have the same fork i have on my 29er Felt Nine 70. Yes, you have to unweight the fork to lock it out.
I paid $70 extra for the ability, used it once, hit a ramped curb and landed hard, so I turned it off and never used it again.
If your new bike is under a grand and straight off the line, most likely you have a "cheapy" lock out system.
I just got a banshee spitfire with a pike and a crane creek inline db, and I can lock it out while riding. Makes life so much easier when you don't have to stop pedaling to lock out the suspension.
If in doubt leave the fork locked out. If it's a bolt action mechanical cheap version, then I'd take the switch off so it can't be locked on. If it's not hydraulic lockout then don't bother. Work on your smooth high-torque cadence and the lockout won't matter. A good rider will be smooth and not bob up and down.