Can you play 'Not So Fast' to counter 'Dockside Lock-Up' banish?

Yes — if Dockside Lock-Up's controller is banishing your unit, you can answer the "When you play this, banish a unit here" trigger with Not So Fast.

That trigger is its own chain item: it goes on the chain after the gear finalizes, and the Lock-Up's controller chooses which unit at that battlefield to banish when the trigger finalizes (Rule 355.5.b, 355.10). If that chosen unit is yours, it's "a friendly unit" from your perspective, so it's a legal target for Not So Fast's Reaction — the whole banish is countered and the unit stays put (Rule 426.1.a). If they banish their own unit instead, you can't counter it, since that unit is friendly to them.

Two things it does not do: it doesn't remove Dockside Lock-Up — the gear is already on the battlefield and only the trigger is countered — and it doesn't stop the "When you hold here, kill this to play the banished card" ability, which will simply have nothing to play.