You can use:
=CELL("protect",A1)=0
to highlight the cells that are unlocked.
To keep from printing those shades, you can pick out a cell to use as an
indicator.
I used $A$1 because it's usually easy to find and modify.
Use a conditional formatting formula of:
=AND($A$1<>"",CELL("protect",A1)=0)
And to see the shading, put something in A1. To hide the shading, erase the
contents of A1.