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It does say on the page where you select your phone model that all data will be erased and say if you agree to proceed however because your DRM keys are deleted you may find that updates from Sony will cease to work so you may have to for example look on Xperiablog for the app updates and side load them - The same applies to firmware updates as you are now deemed to have modified software installed
You can certainly lock the bootloader but because your DRM keys were deleted then I'm sorry to say but you will not get these back and some Sony specific features will still not work
To lock your bootloader download Flashtool and install then Run the program and click on BLU and follow the instructions
Bravia engine - The ability to download Music info via the Walkman - Possibly specific enhancements used by the camera - I'm really not sure as this may differ from phone to phone