Because Delta Exposure measures a player's share of your unique lineups, and the number of unique lineups can change during a swap even when the player can't.
Say you have three entries with two unique lineups, and a locked player is in one of them. He's in 50% of your unique lineups. After a Full Swap, the two lineups that were duplicates at lock become different from each other, so now you have three unique lineups. The locked player is still in one. His exposure is now 33%, so Delta Exposure shows about minus 17%, even though nothing about his lineup changed.
It's a bookkeeping effect, not a sign that the swap touched a locked player.
Related: How do I Full Swap?