There is no such thing as a band lock. There's no point to lock a world phone to 1900MHz frequency. Why not market a plain 1900MHz phone instead of going through hassles of locking it? ERICY thought of doing it on the T28W for the North American market but dropped the idea, since it would cost exactly the same to manufacture, but you can't sell it for as much (i.e. less revenue) so there is no incentive for manufacturers and networks to do this.
In the other hand though, a SP lock may be placed on a world phone to protect the Network Provider's subsidy on your phone, and to ensure you don't resell or use the phone on a competitor's network, and to protect Roaming revenues. SP locks may be removed at the end of contract period, or if you have a long-standing account relationship w/ the network provider. However a SP lock can be defeated by hacking. In some countries, SP-locking is illegal since it is a barrier to fair market competition.
P.S. I am a Telecom Mkt Analyst and have been using GSM since 1996. I've owned a few world phones such as Motorola L2000, Motorola P7689, Ericsson T28, Nokia 8890, SonyEricsson T68i and currently the Mot V60G.