Sony's My Xperia Theft Protection (MXTP) feature, currently live on a number of the company's newer products, will apparently break bootloader-unlocked devices. For new devices that haven't been unlocked, enabling MXTP removes the ability to unlock the bootloader. The real problem presents itself when you enable the feature on a device where the bootloader is already unlocked.
From Sony's Unlock Bootloader site:
After unlocking your device, you should not enable My Xperia (found in the settings menu under security on some devices running Android 5.0) as this might cause the device to malfunction.
Currently, MXTP is available on the Xperia Z3+, Z4 Tablet, C4, and M4 Aqua. It's worth noting, however, that Sony doesn't officially allow these devices to have their bootloaders unlocked at the moment.