ur mistake here is u r basing ur lock on the crosshair while radar lock (keypad 0) is basing on the radar cursor (the two vertical white stuff on ur radar screen) on ur MFD in RWS or TWS mode while ACM Boresight will lock whatever target in front of the extended crosshair on ur hud. The radar cursor can be move/slew by using keyboard's arrows.
sidewinder doesn't need radar lock to pickle, but it will be a big help to have one as you could get a DLZ and know when to and when not to pickle. but as long as you could get a good tone, even the DLZ showing u're too far or too close u're good to go (but of course if ur too close, it might affect u too)
what I usually do when going dogfight with a sidewinder is to go dogfight override mode (keyboard D) and check the HUD for "NO RAD" which means no radar and you won't get a lock but you can still get the tone. If the "NO RAD" appears, I just hit A-A weapon cycle (by default it is keyboard Enter if i'm not mistaken) until sidewinder comes up on the MFD and i'm ready to engage.