Same here. I lock it, and then it unlocks with every combat or load from a save.
I'm not sure if it's intentional, maybe to allow a quick move during combat like dragging a potion into the hotbar without unlocking it, or automatically adding a scroll you pick up, but it's very annoying. If I click that lock button it should stay locked to avoid accidentally dragging out an item when I'm trying just to click on it.
I know there are other threads on this, but the entire hot bar design needs a re-design. It's confusing the way things are added automatically, and it's way to difficult to click the tiny buttons to see the additional "pages." It needs to expand larger with a pop-up or some other solution to help us manage it easier. It's a mess right now.