Driving wheel doesn't lock when taking off the key

[Pingouin]

Hi all,
All the cars I had before my 08 Yaris would let you lock the driving wheel by turning it slightly after pulling out the ignition key (I'm sure you know what I mean). I've always done that for added anti-theft safety, and because I think the insurance is void if your car is stolen and they figure out that you didn't lock the wheel.
Anyway, I'm completely unable to lock the driving wheel on the Yaris. After pulling out the key, I rock the driving wheel slightly left and right, it moves, but never "clicks" into locked position. The user manual seems to suggest that it should lock like any other car. I thought that it might have been stolen at some point (I bought it second hand), but the HPI doesn't mention any theft, and besides, the garage would surely have fixed it before selling it to me (or would they?).
So am I missing something, or is the wheel on a Yaris not lockable?
Thanks for any info!