The reason the lock icon appears is because the "Authenticated users" group is not in the ACL of the folder.
Right-Click the folder, choose properties. Select the Security Tab. Choose "Edit" In the "permissions for <folder>" dialog that appears, choose "Add".
Type "Authenticated Users" (without quotes) in the "Enter Object names to select" box. Click OK in all the open dialogs, and allow it to apply the changes. It may give a "permission denied" error quite a few times, just say continue until it finishes.
That being said, the Lock icon overlay is a piece of information relating to the folder- it's saying "the permissions on this folder differ from it's parent folder". That is, you'll see lock icons on all profile folders (usually), because their permissions differ from the parent folder- a user named james can access C:\Users but not C:\Users\Tom.
What you are effectively doing by performing the steps above is saying that Any logged on user can access your account data, such as documents and so forth.
ShellIconOverlay info is stored in the key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\ShellIconOverlayIdentifiers; in this case, the "SharingPrivate" subkey, which contains a single clsid:
{08244EE6-92F0-47f2-9FC9-929BAA2E7235}
which is a clsid for the object factory in %SystemRoot%\system32\ntshrui.dll, which in turn contains the lock icon as one of it's resources (120, to be precise).
You could replace this with empty icons. I don't think you can delete them outright, since you'll probably cause a stellar crash whenever you use explorer.
Of course, the problem is, I don't know of a good resource editor that can change 64-bit executables, and even changing the 32-bit version is less then perfect, since it wil just be replaced by SFC, so then you'll have to copy the dll, change it using a resource editor, reboot into recovery console, copy the file into system32 and the appropriate dllcache folders, and then reboot.
