I think that you're overcomplicating it. This gives the results that you're looking for without any loops.

INSERT PolicyReviewLocks(PolicyNumber, UserID)

SELECT DISTINCT pr.PolicyNumber, @User

FROM PolicyReviews pr

INNER JOIN PolicyReviewStatus prs

ON prs.ReviewID = pr.ReviewID

WHERE prs.Status = 'P'

AND NOT EXISTS (

SELECT 1

FROM PolicyReviewLocks prl

WHERE prl.PolicyNumber = pr.PolicyNumber

)

SELECT *

FROM PolicyReviewLocks prl

Drew