FileSet does a lot of things under the hood. I found that it does several QueryOpen operations per file, due to GetFileAttributesEx calls to get file size, modified date and such. One call should be enough, but FileSet does 4 calls per file :

$ZSEARCH seems more efficient (especially if you don't need extra file info like size or date). This function is not meant to be called in a recursive context, so special care is needed :

kill FILES
set FILES($i(FILES))="C:\somepath\"
set key = ""
for
{
    set key = $order(FILES(key),1,searchdir)
    quit:key=""
    set filepath=$ZSEARCH(searchdir_"*")
    while filepath'=""
    {
        set filename = ##class(%File).GetFilename(filepath)
        if (filename '= ".") && (filename '= "..") //might exclude more folders
        {
            if ##class(%File).DirectoryExists(filepath)
            {
                set FILES($i(FILES)) = filepath_"\" //search in subfolders
            }
            else
            {
                //do something with filepath
                //...
            }
        }

        set filepath=$ZSEARCH("")
    }
}

$ZSEARCH still does one QueryOpen operation per file (AFAIK it's not needed since we only need filename, which is provided by QueryDirectory operation happening before, using FindFirstFile) , but at least it does it only once.

Based on my own measurements, it's at least 5x faster ! (your results may vary). I am looping through 12.000 files, if your have a smaller dataset, it might not worth the trouble.

If you need extra file attributes (like size) you can use those functions :

##class(%File).GetFileDateModified(filepath)
##class(%File).GetFileSize(filepath)

Even with those calls in place, it's still faster than FileSet.

I would have say that code that check for lock and then lock (in two steps) is usually not thread safe (there might be race conditions between the two steps) but since here it can only happen within same process (and not two different processes) that might be OK.

 "protect some code for being called by multiple processes at same time" - same or multiple processes?

Both. LOCK in other programming languages (eg: C#, Java, ...) will protect any process (other processes or your own process) to enter the critical section twice.