It would be nice to be able to lock items so they can be excluded from the sort. Personally I like to keep my gear sets together so I don't accidentally sell them when I go to the vendor.

I don't think this is really possible, since Bagnon just invokes the default UI's own bag sorting function. The only way to add this kind of feature would be to either (a) write a whole custom sorting function from scratch, or (b) write a bunch of code to run after the sort to put the locked items back where they were before the sort, and somehow handle cases where the sort put other items into those slots.

It might be better to just keep using whatever third-party bag sorting addon you were using before Blizzard added this feature.

Just as Phanx explained, bagnon simply uses the default blizzard stuff. Anything else would require complex algorithms and greater lag to sort the items do to great interaction with the server.
There are more concerning problems.