So you are in Austria and close to the border, or in a neighboring country and ordered to a locker in Austria?

In a neighboring country. We don’t have Amazon lockers here, and the international delivery is just way too damn expensive.

Is the locker on a private property that is not open to the public after 7 and that is why they were asking?

Probably. I noticed a private property sign after they stopped me, though it didn’t have any times on it. That’s all I could tell from it. “Penny”, “privatplatz”, and some other text, but no times. I tried to check it on street view, but the sign wasn’t there yet. Just a regular supermarket parking lot.
But also they just left without any warning, so maybe… ?
The police was roaming around there a lot, as if they got paid by the mile. I mean, if something bad happened I wouldn’t have to call the police, just stand next to a road and wait 5 minutes.

Do you have an idea why he was confused to hear you are from a certain city?

I am not 100% sure he was confused, but it was a quieter, uncertain OK or “oh”. Perhaps he didn’t expect someone going there at night just to pick up a parcel.