No it doesn't "lock" in focus or exposure - it just give you all the settings - and I mean ALL the camera settings that you have saved in Ux - everything you can customize - shooting mode, storage mode, focus mode, flash mode, etc. So, if you set to U1 when your aperture is at f3.5, Shutter at /120 and ISO at 100, than whenever you switch to U1, you camera will have those setting as well as all the other settings (image mode, custom buttons etc). Think of it as a way to quickly custom set your camera's custom settings without going through all the customer setting menu. So, if you are in Aperture Priority mode when you save to U1, then when you go to U1, you'll be in A -priority mode with whatever ISO and shutter speed you had when you "saved" to U1. Like I mentioned, I shoot in manual mode most of the time so I programmed all my favorite settings to U1. Occasionally when I decide to shoot A-Prioity (lazy or for Panorama sequence), I turn it to A-mode and when done, I turn it back to U1. Sometime, when I let some Point-and-shoot friend use my camera, I turn it to Auto. No problem - when I get it back, I just turn it back to U1 and voila, I have all my favorite setting. When I shoot in studio with studio lights and off camera multi speedlites, I just set it to U2 which has all my pre-programmed settting for that situation. But I still need to adjust for my exposure for each image I take.
If you want to shoot moving or action shot, you need to really understand the AF-C mode and how many focal points to use and how they are clustered.