Do I need to take my weight off the bike to lock out the suspension?
Less expensive forks have a mechanical lockout. This type of lockout is only usable when the fork is unweighted. Think of it like trying to deadbolt your door when it's still ajar. Higher end forks- coil or air- use a hydraulic lockout. There's a lot going on inside them but to simplify things a bit, there are two valves in the damper of most mid-high end forks that allow oil to pass through and both only work in one direction. One allows oil to pass through when you hit a bump, the other allows oil to pass through on the rebound from that bump. When you engage the lockout on one of these forks it basically closes the valve that allows oil to pass through when you hit a bump, however the rebound valve stays open allowing the fork to return to it's original position. 
So back to your original question-
No, there is nothing wrong with your fork. The lockout is working as expected and don't force it or you might break it!