Basically, this could be possible. I've got CM7.2 on my Motorola Droid2, which also has its bootloader locked. Being at work, I cannot access all ressources (firewall restricts me) -- but just in case, there seems to be a youtube tutorial on Unlock any Sony Ericsson Xperia in 5 minutes, just in case you want to unlock first (which should make things easier).
According to XDA your device should be supported by CM9. However, I could not figure out whether CM by default uses 2nd init on the XPeria devices (which is what must be done when the bootloader is locked -- and how it works e.g. on the Motorola Milestone 2; but obviously this is not done for the ST17i). So if you want to try with your bootloader locked, you should check with the instructions coming with your CM9 build to make sure: Some sources I've found (not sure which XPeria the ST17i is, so they might apply or not), as e.g. How to pgrade Xperia X8 to Android 4.0 ICS / How to Upgrade Xperia X8 to Android 4.1 Jelly Bean and especially Android Forums - View Single Post - All Xperia mini (un)rooting,un(re)locking bootloader,flashing CM,kernels,CWM,ROM's,tweaks etc (which explicitly applies to your ST17i), mention an unlocked bootloader as pre-condition for flashing CM9.
So the answer is probably NO, though it would theoretically be possible.