Thanks, we can confirm this issue. It's not actually specific to exchanges, but true of any locked output that is subsequently spent. This behavior was inherited from Bitcoin Core and we need to evaluate whether or not we think it should be changed for the next beta. While we agree it doesn't make a great deal of sense, we also maintain a goal of preserving compatibility with the Bitcoin Core API. In the meantime you can manually unlock it as a workaround, for example a simple lockunspent true unlocks all outputs.