SQL database does not get locked by DLP . DLP just has a read only access to the database during scanning.Locking in the database happens only if there is a modification.
Note:SQL Server holds Locks on user data to protect data integrity and this is required in every database where data gets modified. Just to emphasize, be aware that if a database is set in a READ_ONLY state SQL Server does not hold locks on data being read since it cannot be modified and so there is no data that needs to be protected, therefore SQL Server only marks the objects being accessed with an Intense Share (IS) lock to prevent a DDL statement such as dropping a table while it’s data is being read.
Locks on user data exist in any environment where data gets modified (the database is set in READ_WRITE state as opposed to the above example) and this is absolutely OK. SQL Server holds the required locks to protect data integrity and releases the locks as soon as they are no longer required.