Yes it is confusing, but from their example I can decode it.
They are saying that if you are logged into an X11 session, and ssh to another (remote) machine [With the
-X option]. Then any program that you run, will run on this remote machine, but any X11 program will display on your local machine. Similarly any lock program will lock your X11 Display (on the local machine).
If you wanted to lock one of the displays of a remote machine, then you would have to set the DISPLAY variable accordingly, and configure
xauth appropriately (but that is another question).