Is the phone configured to allow access to admin settings? On the device configuration page what is "Settings Access" set to? It should be set to "enabled". You can also see if there is a phone password by going to Device - Device Settings - Common Phone Profile. Choose the profile that is on the phone then look at the Local Phone Unlock Password to see if one is configured.
What happens when you press **#, are you getting any message displaying on the screen or softkeys stating "Unlock" or "Lock"? Also, how are you trying to unlock and at what point are you trying to unlock? For example are you pressing the Gear icon then **#, are you pressing the Gear icon then choosing Settings then **#? Lastly, what exactly are you trying to accomplish by unlocking the settings?
Is this the only feature you are trying to enable? If so then try this, pulled directly from the user guide:
A few important items to keep in mind as you use this feature.
Voice Feedback is enabled and disabled with the Select button that is located in the center of the Navigation cluster. When the phone is idle, quickly tap Select three times to turn this feature on or off. A voice prompt alerts you to the feature status.
I tested this on my phone and it worked fine with no prompt to unlock. I didn't hear it say the first time that it was enabled but I checked in Settings and it did show enabled. After that I was able to hear my button pushes via my headset or speaker.
If your phone is registered to a CUCM, then you will need to go to Phone Configuration->Product Specific Configuration Layout and set "Settings Access" to Enabled, check below: