I noticed when a file is executed on Windows (.exe or .dll), it is locked and cannot be deleted, moved or modified.
Linux, on the other hand, does not lock executing
I think you're too absolute about Windows. Normally, it doesn't allocate swap space for the code part of an executable. Instead, it keeps a lock on the excutable & DLLs. If discarded code pages are needed again, they're simply reloaded. But with /SWAPRUN, these pages are kept in swap. This is used for executables on CD or network drives. Hence, windows doesn't need to lock these files.
For .NET, look at Shadow Copy.
As far as I know, linux does lock executables when they're running -- however, it locks the inode. This means that you can delete the "file" but the inode is still on the filesystem, untouched and all you really deleted is a link.
Unix programs use this way of thinking about the filesystem all the time, create a temporary file, open it, delete the name. Your file still exists but the name is freed up for others to use and no one else can see it.