What does “Lock Screen” mean and how to do it?

If you are wanting iCloud to backup automatically while the phone is charging and connected to wi-fi the screen must be locked. You can do that by pressing the right side button or do what I do and just let it lock itself automatically based on the time selected in Settings > Display & Brightness > Auto-Lock.

If you want to do an immediate backup to iCloud via the "Backup Now" option in Settings > [username] > iCloud > iCloud Backup then you do not need to lock the screen.