There is nothing wrong with locking the steering wheel, that should be a theft-time-waster device. The only thing is to remember how to disengage it.
Try to do it again. Remove the key and lock the wheel. With the left hand try to turn the wheel while it's locked and at the same time try to turn the key. It should be impossible. Then, while exerting force on the key, turn the wheel in the opposite direction. The key will just turn when the locking force is gone. There should be nothing with the gearshift (unless it is automatic transmission)
Regards
Raul