Ah, in the case of a PIC, there's a microcontroller and a ROM on the same chip. After programming the ROM, it can be locked/copy protected. After that, it cannot (easily) be read from off the chip. However, the PIC on the chip still has normal access to the contents.
For a stand-alone ROM, if there were some method of locking it, it would be useless because nothing would be able to access its contents, because all accesses are from off the chip.