When a migration gets rejected, it gets locked automatically.
Auto-locking seems to be what happened with http://stackoverflow.com/questions/1473143/methods-to-stop-software-piracy. It behaves like a locked question and its revision history notes that it's locked, that the lock was assigned by Community and that the assignment happened at the exact same moment the question was closed.
However, I don't see a "locked by Community♦ Apr 22 at 20:13" banner on the question page. I do see "migrated from..." and "closed as..." banners.
I think that all rejected migrations should have lock banners on the target site.