I don't know about ICS, but in Gingerbread, the screen lock sound volume (and keyboard ticks for that matter) are dependent of the level of the media volume. So if you have your media volume down all the way, you won't hear the lock sound (or keyboard click).
To change media volume in Gingerbead (should be similar in ICS)
from home screen..
menu>settings>Sound>Volume>adjust slider to the right to increase, left to decrease
You can just play some music/game sounds and push the volume up button.
hope that helps!