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Sorry for my reply.
Just because there is not comes any replies yet;
Based on Help/Documentation article:
Note: You need to activate device administrator permissions for the app to turn on the ability to remotely lock and wipe your device.
Sounds as -> you able to use "Sound an alarm on your device" and "Locate your device" by default;
But for "Lock your device" and "Wipe your personal data from the device" you have to configure/allow F-Secure SAFE as administrator-of-device (?!);
By ""in the fsecure safe app has active device lock and permissions"" - do you mean this point (?!); Or about something else? Based on this articles -- if you have "ON"-status for this options under F-Secure SAFE application UI - it should also means that there is "configured" SAFE as Administrator (but good to re-check maybe);
If it properly configured and anyway there trouble about "lock device" (or so) --> maybe there will be some other proper suggestions (since there can be some of potential reasons) by more experienced users;
Or you also able to try talk with F-Secure Support Channels (for proper investigation):
I am having the same problem.The alarm will work but it will not lock-so frustrating