Locked bootloader means that you can't flash custom ROMs like our beloved xiaomi.eu or custom recovery images.
Here are some official threads about this topic:
About Locking Bootloader for Mi Devices: Announcement & Explanation
Unlocking Tutorial
Even worse is the fact that you can actually brick your phone now which was almost impossible before. Until now, you could've always recovered your phone with fastboot and Mi Flash. So it is very important to keep a "good" version as "update.zip" in your SD-card root folder since Mi Recovery can only flash those.
Redmi Note 3 was the first device shipped with locked bootloader. Since 6.1.14 update, also Mi4c and Mi Note Pro are locked. Other devices will follow.
If you are already running a xiaomi.eu ROM, you don't have to worry. As @
ingbrzy stated, "
Our Xiaomi.eu roms will not lock your Bootloader"
But I'm confident that either xiaomi will simplify the unlocking process because there are already reports of bricked phones in the official forum, or some developers will find a workaround for this.