Even though my server is locked I see new characters being created on it. It looks like the server is not letting them log in once they create the character though. Is there a way to stop this, or do I just have to periodically go through and delete the entries?
Also how do I go about getting an old character I created on another server deleted? It was on a server that seems to be non existent now, but the character still appears in my list and I cannot get rid of him.

Since picking a server comes at the end of character creation, there doesn't seem to currently be a way to display that the server you will pick is Locked. So yes, as far as the login server is concerned, you created your toon on that server - but now you cannot log in until the admin sets your security status above the minimum. This is not a bad feature, because it prevents locked server admins from having to manually insert Characters >for< their potential players they wish to allow. Catch-22, really. I like how it is now. Cleanup is not too difficult.
As for deleting chars from defunct servers, LE mentioned somewhere that eventually we will have the ability to clean our dead crap up - just not now.

Makes sense thanks. If I change the name of my server from (Server Name) to (Server Name - Private/Locked) it would probably put any character I use on that server in limbo land wouldn't it?

Maybe not, if your loginserver.ini file governs the server display name, what you registered with is still the same server_id. If we're lucky, the Login Server might recognize the new name?
As far as I know, we cannot yet edit our Server Registration on this site yet. It's a good question really.

I figure if I renamed it to "Server Name - Locked/Private" then it would help prevent people from wasting time creating a character on a server that they will never be able to play on anyway. But it would be nice to know if it will affect the current characters and accounts on the server before I attempt it.

Hmm, just a thought. When you create a new toon, isn't the server "colored" Red for down, yellow for locked, and green for open? I haven't made a new toon in forever. Check that out. If so, then people should not be selecting a locked server to play on.

I am not sure I will have to give that a shot when I have a chance. But just because it is colored different doesn't mean that people wont select it.