There is a 'Select and Unlock objects on canvas' option in Preferences > Selection & Anchor Display section, which allows to display small unlock widgets for the locked objects we can click to unlock (this is fairly similar to what InDesign has).

It also allows us to 'select' several locked objects or unlock them all or only some of them, using a context menu (this is something InDesign does NOT have!)

(I put this in quotes because no real selection happens — the objects don’t get marked with the square selection markers in Layers panel and Locate command does nothing).

And there is a bigger problem...
Having these 'selected' means we can’t truly select anything that is UNDER these!
So we have to choose — either to have a functionality to unlock with a click or click-to-select-under :/

But perhaps this can be split into two options, one for having unlock widgets and another one (dependent on the parent option) — to allow selection?

Please take a look at it.