Few things...
Is the guide rod brand new? It should require a break in period, but something to consider.

Hand position, your hand may have prevented the slide lock from engaging.

How many times did it happen with the steel guide rod?

Personally, after installing my 22lb guide rod in my SD40VE I racked the slide back over a hundred times and left it locked back for 24hrs.

One last thing, make sure the follower is making complete contact on the slide lock lever. A portion of the follower helps push the slide lock up in the lock position.