What it means
Safari can require Face ID, Touch ID or a passcode before it shows open Private Browsing tabs. This protects them from casual viewing on the device. Private Browsing itself reduces some local records and tab sharing, but a website you sign in to still knows the account.
A real-world example
A family member picks up an unlocked iPhone and cannot open its private tabs without authentication. The shopping site previously visited in those tabs may nevertheless retain a logged-in account and purchase record.
What to do
Enable the Private Browsing lock, test it after switching away, and separately sign out of sites or close tabs that should not remain open.
The distinction that matters
The lock is access control for the phone interface, not a network anonymizer. Apple explains that Private Browsing tabs are not shared with other Apple devices and offers a separate authentication setting.
Apple's Private Browsing controls