Hi Colin,
QuoteIf a Download is being editted in the backend then it shows text 'checked_out.png' as shown in image attached.
When I test it with 4.0.26, the image checked_out.png is displayed correctly for logged in users. See pics from the lists and single view. No further information or even a download lock is provided, as an edit does not necessarily have to contain a changed file. Likewise, no lock is necessary when editing a category. Only in the case of category shifts could there be a short-term problem here, but this is quite unlikely.
Since only the file name was displayed in your test, the file is probably not found in your installation.