It's used to protect the gimbal by holding it firmly in place whenever the drone is not in use - also vital for putting on and taking off ND filters. You surprisingly can't buy them on the DJI on line store but there are 3D alternative designs on places like Amazon. I highly suggest you get one as a new gimbal will cost you hundreds to repair!
Yes, we suggest having the gimbal lock inserted when transportation. Maybe you can try to contact our support to see if there is anything we can help if you missed it. http://www.dji.com/support
No problem, nothing touches the front of the camera, the 2 slots slide onto the backside of the gimbal and lock it as you clip it in. I leave my filter(s) on while transporting.