If I recall correctly, once I manually set the band lock it appeared to work via UI, too (i.e. via configuration). I did however upgrade to RUT9_R_00.07.00 pretty much on the day it was released and at least now band lock can be configured via UI. Band configuration configuration keys seems to have changed, and the previous configuration keys were not removed - did not bother to clean those up.
With band lock enabled I run into a problem where the modem would re-connect (presumably when locked bands were not available) but with a wrong APN. The software seems to configure many PDP contexts (AT+CGDCONT) with default / unset values and there's only the primary PDP with the proper (custom) APN set. Perhaps when the modem does not see any enabled bands it attemps to use another PDP context. In my case, it will fail, since I must a use specific APN to bypass CGNAT.
Anyway, I enabled all bands that my ISPs use and then set <AT+QCFG="lte/bandprior">. It seems to work. The modem stays on priorized bands when those are available and when priorized bands are not available it will choose some other (locked) band. There are no connectivity losses during band switchovers and especially APN remains the same, meaning that the device is reachable.
It would be nice if one could set band priorization via UI since attempting to set something like this thru initialization scripts is always a hazzle (due to possible timing issues since there are no callbacks e.g. when modem is ready).