The message "We can't lock your device right now" usually means Microsoft cannot communicate with the device at the moment—most commonly because it is turned off, has no battery, or is not connected to the internet. It does not necessarily mean the lock feature has failed permanently.
Change your Microsoft account password immediately.
If you remove it, you'll lose the ability to use Find My Device or attempt a remote lock in the future.
Once the device comes online and can contact Microsoft's servers, the lock command may succeed.