Lock means you cannot enter data unless you first touch either the Sleep/Wake button or the Home button and enter your passcode or fingerprint.
The Auto-lock feature is, as you surmised found in Settings > Auto-lock where you select the time interval after which your iPhone automatically goes to sleep and you have to enter the passcode or fingerprint to use it again. Pressing the Wake/Sleep button at the top or top right side of the iPhone manually does the same thing as the Auto lock setting.
