The Lenovo x240 keyboard does not seem to have a scroll lock key at first glance. Given that users of old software (for example, Teracopy and Excel) sometimes use these keys, this chalks up as yet another nuisance of the new x240 design.
Documented in Lenovo laptop's manual on page 23, it turns out that the scroll lock key can be invoked via Fn+K.
Other keys of interest:
Fn+B: Break
Fn+P: Pause
Fn+S: SysRqFn+4: Sleep