FWIW, mine don't lock up unless I'm moving slow on gravel, grass, dirt, etc. However, when I'm going 40 - 50 and step on the brakes aggressively I can feel the trailer initially holding back during it's initial lead period.
I keep my Prodigy boost setting on '3' unless I'm in slow moving heavy traffic. Then I'll drop it to '2' or '1' to reduce the lead a little. Otherwise, it goes back into 'lead' each time foot is lifted from brake pedal then reapplied.
Some folks may prefer to have them to lock up but I don't think you should be too concerned if yours don't. Actually, I prefer
mine not to do that. As long as the wheels are rolling they'll have better directional stability.
There's a different comfort level with these braking adjustment that varies based on the individual's preferences. Set yours to how you feel comfortable with the stopping ability of the rig and enjoy your trips.