I used to flash Z ROMS on Locked Bootloader with no problems at all, just remember to flash Brightness Fix and ZL kernel again *BEFORE* restarting system, or else you will enter a bootloop with no recovery option and will have to flash official ZL FTF, root and reinstall recovery again to get another go.
Z ROMS flashed successfully:
eXistenZ 1.5.5 Ultimate
eXistenZ 7.0.0 Ultra
MIUI v5 (official MIUI ROM, though, not the ones posted here in XDA)
Sent from my C6503 using XDA Free mobile app