Maybe this is how it always is and I have just never noticed: When I am at 0 dex, after gaining a few points in dexterity, each step will take away 1 dex. This doesn't seem to be the case when my character's dexterity is full.
Stats should only be effected by buffs/debuffs and your own meddling with the up/down arrow on your status window. HP goes down when you are hit, not STR, Stam for Dex, Mana for Int, etc. So if you are losing dex on hit, and you have locked your dex, I would think that might be a bug.