The following may work:
1. Filter > Unlocked segments.
2. Task > Set translated status for target segments.
Do not Finalize as it sets the translated status for all segments.
I hope you use one of the recent CT updates as this filtering functionality for the translated status has been added not long ago.
If your files are .sdlxliff, do not finalize them. Just perform Project > Save. Finalizing or exporting to package sets the Translated status for all segments indeed.
The latest build of the CTE 2018-Akua update 5 adds the option to omit setting of the Translated status to target segment. Just make sure you set this status to the relevant segments (not locked) via the Task menu before the export.
Do you know perhaps how I can set the translated status in a Studio project (client wants it this way) without affecting locked segments? Client says that, as some locked segments are empty, he doesn't want them set as "translated", apparently it's a problem for him. How can I exclude locked segments from being set on "translated"?