Just after I wrote this I saw this Magisk installation (to hide root for bank app) - #10 by iodysseus. Checked with RootBeer as adviced in that thread, and I see that the phone is regarded as rooted, even though the bootloader is locked. Everything seems fine apart from that SE linux flag is enabled. So I pretty sure this is the issue. So now my next step is to see if I can disable SE linux flag with adb. Anyone that knows about this?