deathpectation
The problem you are describing is not that the bootloader is locked - as mentioned above, this is a security feature and is the way it should be.
If you have followed all the steps described, your problem seems to be that you cannot unlock the bootloader in the developer options - which some providers such as Verizon seem to prevent. If that's the case with your phone, you can't unlock the bootloader and I don't know of a way around that.
About rooting:
1.) As I understand it (I'm not sure about that - maybe someone with more knowledge can give a more precise answer), a phone with a locked bootloader cannot be rooted - unless via an existing vulnerability.
2.) It is probably possible to use GOS with a rooted phone [-1.) still applies as you first have to make your way around the locked bootloader] - but not, if you want to preserve the underlying Android security model. In my opinion, it makes little sense to install one of or even the most secure custom OS and then tear huge holes in the security architecture by rooting the device.
If the above-mentioned circumstance prevents you from unlocking the bootloader and you absolutely want to use GrapheneOS, if i were you I would sell your phone and get one that allows you to unlock the bootloader.