I've noticed that when I am running a ThinApp'd app and I try to OPEN/IMPORT a file such as from "FILE -> OPEN" the files are always slow to load and they always have this little lock icon next to my files and folders. (SEE PIC BELOW) Is there a reason for this and perhaps a setting I can change to circumvent this behavior?
Slowness can be caused by any number of things inside the virtualized application or outside the virtualized application on the native Windows environment. Without knowing more about what application you have packaged, there are some things I can suggest checking.
Probably easier than typing them all out here is if I point you to the ThinApp Bootcamp series videos. Specifically I would suggest my ThinApp Performance Enhancing session as this video discusses these slowness issues (maybe not specifically the FILE|OPEN window but it does give some ideas on things to check). Probably my first guess would be AV.
NOTE: You should be able to view them directly on YouTube or Vimeo as well. Please let me know if you cannot access these sites and I'd be happy to send you the videos directly through some other file sharing means.
Regarding the lock file icons, this specifically is a newer Windows feature. The reason for the lock icon is to denote (roughly) "No access to (general) Users". Special groups such as Administrators may have access.
While not recommended, you can remove the lock icons simply by changing the native folder permissions.