Is steering wheel supposed to lock when the key is removed from the ignition?
Mine doesn't. I can move the steering wheel side to side and nothing happens, it just moves smoothly.

 

if you move the steering wheel enough with the key out, it will lock. doesnt do it automatically though

 

I found that the steering wheel has to be upside down to lock, so 'enough' is 180 degrees. I asked the dealer about it and they didn't know what to say at first, but then we went to a new 10 Endeavor they had on the lot and it turned out exactly the same - if the wheel is straight it won't lock at all (well if you have the muscle to turn it 180 degrees without power it will). You'd have to be close to the upside down position when take the key out to be able to lock.

It's a bizarre design.