The most obvious reason for this occurrence is that Lightroom Classic is still open. Please confirm that you have closed Lightroom Classic.

Otherwise, the message about the locked catalog can happen when Lightroom closes unexpectedly.

The solution is to open Lightroom with the same catalog and close it again.

That way, Lightroom gracefully releases the lock he has on this catalog. If that doesn't work, you can manually remove these files.

They will be in the same directory as your catalog (It's safe to do so, but please back up those files and your catalog before deleting them):

<your catalog name>.lrcat-wal
<your catalog name>.lrcat.lock