There are only a dozen or so characters in Japanese console RPGs period. They may have ifferent names and different appearances, but it's all the same archetype. You've got Angsty Guy With Big Sword, Childhood Best Friend Who is Now a Villain, Shameless Womanizer and Flirt, Princess of a Fallen Kingdom, etc, etc. When Locke appears, he's pretty clearly the Thief with a Heart of Gold, the Seasoned Adventurer, Dashing Rogue, etc.
The first thing that separates one of these characters from the traditional hero is the fact that they're a bit rebellious. They might not be outlaws, but they are certainly free spirits. Think Westley from Princess Bride as the Dread Pirate Roberts. Secondly, these men are brave. Brave sometimes to the point of stupidity, and not out of purpose or valor. Those things might play into their psyche, but they love adventure. Danger is their proverbial middle name. I think that this excerpt, about the Scarlet Pimpernel, explains the phenonemon quite well.
Percy...Percy...her husband...the Scarlet Pimpernel...Oh! how could she have been so blind? She understood it now- all at once...the part he played- the mask he wore...in order to throw dust in everybody's eyes.
All for sheer sport and devilry, for course!- saving men, women and children from death, as other men destroy and kill animals for excitement, the love of the thing. The idel rich man wanted some ain in life- he and the few young bucks he enrolled under his banner, had amused themselves for months in risking their lives for the sake of an innocent few.
Yes, that does some it up well. Thirdly, these fighters are based on skill, rather than brute strength. Locke is a shrimpy guy, but he's good with the daggers. "Highly skilled" and quick with his hands. They could use tricks and deception in combat but they will retain their honor if that matters to them (and it often does.)
And at the end of the day, they may be beaten and broken but they have the one thing that the world cannot take away from them. Pananche. In spades, my dear, in spades.
All of this caused my intial "EEEE FAVORITE" reaction when I was about nine. But when you learn more about him, he's not a thief. Not even a treasure hunter. He's a knight. Just without the requisite armor.
Now, to comparing Locke with, say, Cyan, has him coming up short of chivalry points. He says stuff like "izzat" instead of "thou," and "steal" isn't exactly helping his knightly case. But personality-wise, Locke's special skill is 100% cover. What's more noble than jumping in front of blades intended for other people? The sad thing is that Locke doesn't have enough HPs to be a good tank.
But that's the point. No one really has the strength to stand up and take the hit for everyone without it having some negative effect. Likewise a thirst for adventure is a thirst for destruction, and that One Great Treasure Locke's questing for has led him to keep his dead girlfriend preserved in some sketchy old man's basement. But this is what Final Fantasy VI does-- create characters almost blindingly archetypical and then gives them that one extra iota of depth that damns and celebrates the archetype all once.