You may request that your vehicle be locked while it is in transit.
However, the carriers typically do not lock the doors on the vehicles once they are loaded onto the carrier. The main reason for this policy is car alarms. Certain car alarms are sensitive to vibrations and even the angle that the vehicle is tilted. As an example, some models of Mercedes Benz will trigger an alarm that notifies the owner that the system believes the vehicle is being tampered with. This alarm will send notification throughout the duration of the transportation. While that is obviously an annoyance for the vehicle owner, it is far more of an issue for the transportation carrier. Due to the constant alarm activity, the vehicle’s battery will be drained quite rapidly and the vehicle will not be able to start upon delivery.
If you are certain that your vehicle will not have any issues caused by being locked during transit, feel free to ask the carrier at pickup to lock the doors after it is loaded.