Does the C# Yield free a lock?

No the yield return will not cause any locks to be freed / unlocked. The lock statement will expand out to a try / finally block and the iterator will not treat this any differently than an explicit try / finally in the iterator method.

The details are a bit more complicated but the basic rules for when a finally block will run inside an iterator method is

1. When the iterator is suspended and Dispose is called the finally blocks in scope at the point of the suspend will run
2. When the iterator is running and the code would otherwise trigger a finally the finally block runs.
3. When the iterator encounters a yield break statement the finally blocks in scope at the point of the yield break will run