Create workflow for compromised users in Azure AD

With ‘high risk’ I assume you’re referring to the user or sign-in risk of a user? Locking the account itself is not an option out of the box, but you can use Azure AD conditional access to block access until the user self remediates this. If you really would like to block sign in for such users you can either use a PowerShell script that runs regularly or when you do have Sentinel in place use a playbook for this.