Why is suggested to OEM unlock when LinageOS can be installed without it
The official way does not always work, if your phone and flashing are ok, don't touch them is the idea.
Official way to unlock a bootloader, its different for different phones, but it I post a general overview:

Back Up Anything You Want to Keep
Use Android SDK or the light verision of the SDK called platform tools and the IMEI of your phone to get an unlock key for the bootloder. The unlock key or the procedure to get it can be found on your manufacturer's site.
Go to fastboot mode and enter:
fastboot oem unlock UNLOCK_KEY

Read more here:
This is for Sony devices.
Unlocking a locked bootloader will wipe all user data (but not the ROM) from the device. This is a security mechanism, so you can't get at the data on a phone by installing your own ROM on it.
Its locked for security reasons, because it controls all the hardware, independantly from the operating system.
You can read more about bootloaders here.