This is done within Capital User as you have correctly identified based upon your picture.
I would draw your attention to TechNote MG590916 in SupportNet.
Before performing the following, make sure the User you select is NOT working on the data in question.
To be safest, the User you select to remove Locks from should have Capital tools closed.
If you Delete a Lock that is actually in use, you may cause problems to the data.
Under User Accounts - select the user in question - RMB - Lock Status.
From within the dialog, select one lock at a time and press Delete button.
You can only select one at a time. This is designed to prevent users from unintentionally deleting the wrong Locks.
Regards,
Pat