Uh you should have a code for that lock...it's main story relevant.
I did not. I have only done one main mission, just played HUD-less, wandering around.
I am even deliberately stalling the side mission progress, I just progressed enough to retrieve an item a side mission character can use in order to help Jensen. I've been stalling progress since though I am sure I've already cleared more than a few objectives already, lots of trailblazer and explorer bonuses. For example, I happened to wander into a financial institution and left no stone unturned.
I don't care, I'm having a great time this way. Game has it's flaws, both technical and gameplay related but overall I am having a good time with the game.