Masternode wallet doesnt need to be unlocked, try and restart your controller wallet then unlock it for staking and start the masternode
I restarted the wallet and unlocked it for staking only and the masternode started succesfully, many thanks!
And now? Do I need to set a reward address and wait?
You will be getting the rewards in the controller wallet, you can close it now. Leave the wallet on the vps running as that one will run your masternode. When you decide to cashout coins always remember to have "Display coin features" active, so you can select the transactions and not break the masternode.