The Lock Down option in the Security Level menu sets other options in the Firewall Rules and Login Security Options sections to be more strict. If you choose that option, you can scroll down to see those settings before saving them.
The website is still generally available, but depending on how fast visitors or bots browse the site, or if some of them make more than a few failed login attempts, some legitimate traffic may be blocked. This can happen more if your site has any mistakes in resources (like a broken link to an image or css file), which cause 404 errors upon each pageview.
-Matt R