I've used my diff lock here (Egypt), in sand, and I do notice it. I admit that ice and snow are something I've not experienced particularly (too bloody cold). On mud and loose surfaces the wheels do slip round, but again, it is still harder to turn, proportional to the grip available, though not like on tarmac.
When I do use it it's normally in a fairly straight line as when I first started with it I noticed when I wanted to turn the wheels had a tendency to dig in more. The rears scooping out the sand more and the fronts resisting the turn more and ploughing the sand up on the edges on the outside of the turn as the rears are trying to drive the car straight.