I did not realize that each post within a folder also has some kind of folder under a padlock sign.
I'm not sure, but I think you mean "each topic within a forum also has some kind of folder under a padlock sign."
If I've got that right, the folder is simply a read/unread indicator. (As you noted, gray means read, yellow means unread.)
The padlock appears on locked topics. You're seeing one at the top of the read/unread indicator column in every forum right now only because dk's locked welcome post is currently displayed in every forum and is stickied so it stays at the top of the topic list.
