I think whatever you do you need to read the fine print carefully (sorry!) and if necessary query with the insurance company before buying the insurance (get it in writing, I wouldn't trust a phonecall, recorded or not!).
There is a fine line between 'in public' and not in public, for instance an office is public and I'm officially not covered unless I lock my bike to something when it's in my office.
I reckon you might be able to do something about a locker being a 'building' as if it is stolen out of the locker presumably you'll be able to show 'forcible and violent entry' etc etc; OR it being an immovable object, and then just get the lock used on the locker endorsed.
Just be careful you don't leave it overnight and fall foul of the 'abandonment' clause - generally you can't leave your bike (unless at home) for more than 12 hours where ever it is.
My policy, with ETA, says the following (sorry for the bad line breaks, copy paste not working so well with PDFs):
Exclusions:
3. Theft or attempted theft of the pedal
cycle(s) whilst left unattended in a
public place at any time
unless:
a) the pedal cycle is secured by an
approved lock attached to an
immovable object, or;
it is locked in a building/vehicle
where theft is occasioned by a
forcible or violent entry. In this
instance, the pedal cycle must be
stored out of sight.
and building is defined as, generally, a whole lot of variants about where you live (incl sheds etc).
13. Immovable Object means
a) any solid object fixed in or on to
concrete or stone, which is not
capable of being undone,
removed with, or lifted under/over
the pedal cycle;
a properly fixed motor vehicle roof
rack or properly fixed vehicle
bicycle rack;
c) at train stations, a bicycle rack
supplied by the train station
expressly for the purpose of
securing bikes, and within the
jurisdiction of the transport police.
