Auto-Lock is a setting that's stored on the Lock itself rather than being communicated server-side. This means that even if your network goes offline for some reason, Auto-Lock will continue to work.
This feature ensures that you never have to worry about whether you locked your front door. After a set amount of time (that you can change) of the door being closed, the lock will engage itself. The available delay selections range from Instantaneous to 10 minutes. Alternatively, if you're not comfortable with the door automatically locking, you can turn this feature off altogether.
Changing Auto-Lock requires that you be near enough to Wyze Lock to connect to it via Bluetooth. If this setting appears grayed out in the Settings, check to make sure you have Bluetooth enabled on your phone or tablet, and that you're close enough to connect.