I am also a Mac user & was using LW 4 up until late 2010 which is what you were most likely using with the Saved & Shared options.

In regards to MacOSX permissions there's more than one way you can achieve what you wanted. Personally I use the permissions function found when selecting the information window of a particular file or folder or even drive. You can set the 'everyone' setting to 'Read only' or 'No Access' for example. (Or all others but yourself.) You will find the Permissions portion of the Info window identical for either a file or folder. There is a drop-down menu at bottom to allow you to apply and if a folder whether to apply it to all enclosed items.

Your method of locking the folder should have achieved the same permission level AFAIK. Locking usually means the file or folder cannot be changed & folders cannot be opened. However with the password addition I presume this would add the extra 'Read' permission you sought. It might be worth asking on an Apple forum about this permission issue.

As for sharing with LW, from memory you are correct that files are not shared from the Saved folder in the circumstances you described. To be shared the files would need to be manually added to shares using one or another method.