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As above, when my screen locks a video plays. This is whether charging or not. I cannot get it to stop playing this video. Also, when I try to set up a PIN for my phone. A padlock appears over the number pad. I have also tried then to set up a swipe lock. The number pad again gets blocked by a Padlock.
Any help will be much appreciated.
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There is a slight chance you got a demo unit. Contact your seller.
Video on the lockscreen? Never saw this before. Can you take a screenshot and put on dropbox and post the link here?
It's basically like a computer screen saver. So when I attempt to take any screenshot of it, or touch the phone at all, it disappears. Problem is, the phone screen never actually turns off. I have left it sitting here for ages on the charge. It sits there, looks like its about to go to sleep then up comes the videos of Z3 features etc.
This looks like a demo unit behaviour, can you go to Settings -> Display -> Daydream and make sure it's off?
Yeah daydream is off. I thought Demo behaviour too. But I can make calls etc, which surely I could not do on a demo device?
What if you change the theme?
Yeah that didn't fix it either. I have come across 3 retail apps buried in the device. I have managed to manually stop one and disable two more. This stopped it, however, upon restarting the phone. Its back again
I have no option to uninstall the RetailDemo app which is always running. It is completely greyed out.
I think you have demo unit there, not sure about the calling feature if it's really off on demo units. Last think I can advise is trying PC Companion phone repair.
Open PC companion -> Support zone -> Phone/tablet software update -> Repair my phone/tablet (blue link style). Follow the steps given, do not connect your phone until prompted to press volume down while plugging USB cable.
http://www.sonymobile.com/gb/tools/pc-companion/
Thanks for your help. I will try this now 
Well, unfortunately, this didn't work either
It is 100% an app called Retaildemo. I just cannot delete it.