Not sure I understood you right but:
to get a distributable (player) executable you don't need to unlock anything. Just click "file" / "export" and tooll creates a new folder within your main folder called "export" which features your project...
-As for the loaderbar: Do you have music in your project? How long is the song?
Never had this problem before so I don't know. Maybe you can check the log files?
-If you "export" tooll usually only selects the dlls and ressources and puts them into the "export" folder that the project needs. There are a couple of files which you sometimes can still delete before you release your prod, but that usually only saves a couple of megabytes and isn't really worth the hassle.