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When you use --no-locks you disable FTWRL and DDL lockings that might cause inconsistent backups. And I said 'might' because there was no way to know if all the threads were in the same position but, since https://jira.percona.com/browse/PS-4464, you will get this information, that is why we implemented this new functionality that will allow you to get a consistent snapshot even if you use --no-locks.
This is only for some versions of Percona software.