I pretty sure that would be expected behavior. There is a setting in System Settings -> Re-Enrollment for Clearing Management history re-enrollment. Try changing that setting to clear only Failed commands instead of the default. I am not sure if the lock command would survive the re-enrollment, but test.  

That being said, why do you not have your your enrollment locked behind user authentication during enrollment? I would highly recommend you add authentication to your enrollment process so that a thief gets to the remote management screen and is stuck in your scenario. 

For this to work, the Mac must be able to receive the MDM command that was initiated from Jamf Pro. Once it's connected to the internet, it should receive the command and lock. If someone steals it, never gets it online, and then erases and reinstalls it, it won't receive the command since it is no longer enrolled in Jamf Pro. There's no MDM profile connecting it to your server. If your Macs are in Apple Business Manager and assigned to your Jamf Pro server, a Mac that is stolen and then erased and reinstalled would automatically enroll in your Jamf Pro server during  setup after connecting to the internet. If you enforce FileVault on your Macs, the thief would have to know the password of an authorized user to be able to perform an erase using macOS recovery. Otherwise, they would need to know how to use Configurator to do a full restore. Even then, after erasing and reinstalling the Mac would still auto-enroll, which would make it trackable, and lockable.

This is expected behavior. These MDM commands are really only useful for keeping users in line, and not for securing lost or stolen devices. The commands are also only broadcasted so long as the device is in Jamf, if you remove a device it kills all commands.

When Jamf starts to broadcast the command to APNS, it will show you pending. It will continue pending until the command completes or you cancel it. If you cancel the command it more or less goes away. If it completes it will be in the inventory record under completed MDM commands. If the device never responds, the command will sit there forever until you cancel it or remove the device. Apple does not have a built in failure condition for the device not responding, I have also never seen it fail once a device receives the command but that is not saying its not possible.

If you want to see a bit of the behind the scenes you can read the apple developer documentation for this function.

https://developer.apple.com/documentation/devicemanagement/device-lock-command

Main Problem i see here is the ability to login into the device... in our case our Enrollment Process never allows the User to create a local Account during Enrollment and Installation Process.. So even if they Re-Install a stolen Mac they will sit on the Login Screen without any Chance to login as long as they do not have Logindata that is accepted by our IDP.
But yeah Authentication during enrollment like @Tribruin is writing is also a great option to force a Person to give up on getting into the Device.
I mean, if we are honest, a stolen Device will likely never return even if you lock it.