Is that all?
My ex downloaded something called Team Viewer on to my netbook when I asked him to sort it out. I had no idea.
Do you know what it does? He can control the netbook from his own computer.
I only found out when he started going through my emails and facebook AFTER he decided he wanted a taste of some Italian chick and left me.
There is obviously some trust issue and you need to address that, rather than boil inside. Speak to him, don't freaking message him.
Be an adult about it.
If you then choose to lock your phone, it is your choice. But then you may be giving him more reason to mistrust you as he may feel you have something to hide. Messages are personal, and I can understand that you will be hurt; but talk to him about why he wanted to do it.