The rule is that the TSA recommends that luggage not be locked; it's not a requirement. Link to FAQ (scroll down for lock discussion).

Different airports (and different terminals at the same airport) have various accommodations for handling locked luggage, including allowing passengers to unlock their luggage land-side if it's selected for screening before check-in (and have it relocked by the screener) and having screeners open locks on luggage searched behind the scenes (using master keys, bolt-cutters, screwdrivers, etc.).

AFAIK, locked luggage that doesn't raise an alarm (or isn't otherwise selected for screening) is not opened and searched and continues on its merry way through the baggage system. I always lock my checked luggage, and, to date, no lock has been cut off behind the scenes. I use a lock with an extra-long hasp to make it easier to cut off without damaging my bag, and I carry a spare. IMO, the TSA-approved lock is a sucker's bet.