To be sure that I didn't mislead you, I want to tell that in general, we can programmatically lock/unlock the MultiColumn headers. I didn't share this in my previous reply because this lock/unlock cannot be handled through a column menu and when there is a MultiColumn header defined, we can only lock/unlock the row with the MultiColum headers, not these of the columns that display the data. Here is a Dojo demonstrating how we can lock a MultiColumn header.
To answer your question from your last reply, the functionality to lock/unlock columns that have MultiColumn header cannot be implemented and is not in the roadmap. When there is a MultiColumn header, if we lock a column that is below such MultiColumn header, when the column is moved to the left side of the Grid, what will happen with the layout of the MultoColum header?
I hope the above answers your question.