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If you only want to play a VCO chromatically and in tune to some other sequence, the way you're doing it now is the way to go. And indeed, in this usage scenario big tuning knobs can be quite dangerous and frustrating. A way to "lock" the tuning is a rare/nonexistent feature, unfortunately.
Now, there are many applications where a big tuning knob is useful/necessary – for example when using the VCO as a modulator. In that case, the frequency knob might become be a performance tool. Also, not all music conforms to fixed scales, and to be able to simply dial in whatever one feels is appropriate is an important feature.