Currently the extracted files are just deleted once the emulator closes.
The issue I can see with the file lock approach, is that LaunchBox doesn't necessarily know what file to check the lock of. If you check the lock on the ROM file, depending on the way the emulator is coded, that may or may not work (not every emulator is likely to hold a lock on the ROM file for the entire time that the game is loaded). So you'd need to check the lock on the emulator's EXE file, which would be a guaranteed way to do it, but in the case of Steam, we wouldn't necessarily even know the path to that EXE file. That is an interesting thought that I hadn't considered though.