The locking pin engages a flat ground into the steering shaft close to the torque sensor at the bottom. You can see it in the areas I circled in red in the attached images.
I ended up fabricating a custom pin by bending a piece of steel rod. The real version is a more complicated shape that has a detent to hold it in place, I just used some tape to prevent mine from falling out. I should have a drawing of the pin I made that I can upload later today when I get back to my shop.
Even with this pin engaged the wheel can still rotate +/-5°, it's real purpose seems to be preventing the steering wheel from rotating a full 360° while out of the car. If that happened and you inserted the steering column back in the car you could break the wires on the torque sensor. I believe they can only wind/unwind 2.5 rotations.