This bug is well explained and confirmed in this forum post:

http://forums.microsoft.com/TechNet/...1265&SiteID=17

To summarize the issue, setting the "Locked" property of shape object
will still allow the shape object to be sized, moved, and rotated by
the user when the worksheet is protected. This is NOT described
behavior of this feature and works as described in prior versions of
Excel.

More details:
Shape objects have a "Size and Properties" dialog with a "Properties"
tab that has two checkbox options, "Locked" and "Lock Text". By
setting "Locked" to checked, and "Lock Text" to unchecked, then
protecting the worksheet, the user can still modify the shape object
(size and rotation drag handles appear when user clicks on the
shape).

What is interesting is that when you inspect the "Locked" checkbox on
the shape object's "Properties" tab, it is disabled and UNCHECKED!
Clearly, this is a BUG!

Any suggestions or workarounds?