I can't seem to find my locked ee.SE question anywhere on the Questions list on EE.se, despite it showing up on the Hot Questions list on SE and the active list on All Questions.
Is this just a bug or something?
The lock used on your question is the "historical significance" lock. As its description says, it marks a question that is not considered to be an on-topic question on the site despite its score or answers. It's kept around because its content overall is valuable, but it shouldn't be used as an excuse to post new similar questions.
With that in mind, questions locked for that reason (and not others) are hidden from the questions list so they can't be stumbled upon by new users quite as readily.
Historical lock completely removes a question from a usual question list.
For now, we’ve provided a “Historical Artifact” lock that completely freezes a question and its answers, preventing all further editing, voting, answering, and flagging. It will also remove it from the usual lists of questions on the site while allowing it to remain fully accessible and visible to everyone with a link to it.