Why isn't a continuous bijection from a locally compact space to a Hausdorff space an homeomorphism?
Solution 1:
A simpler example is just the identity from a discrete $\mathbb{R}$ to the usual $\mathbb{R}$, both are locally compact metrisable, any map from a discrete space is continuous. The compact neighbourhoods in the first space are only the finite ones, so there we do have that there is a local homeomorphism (the finite sets are homeomorphic in both spaces), but they're not neighbourhoods in the image.
Likewise, for your example, the compact neighbourhoods $[0,r]$ of $0$ in $[0,2\pi)$ do have compact homeomorphic images in $S^1$ but these are not neighbourhoods of $f(0)$ in $S^1$ any more.
To go from something like a local homeomorphism to global one, we need a stronger condition. Something like: for every $x \in X$ and every compact neighbourhood $C$ of $x$ in $X$, we must have that $f[C]$ is a (necessarily homeomorphic) neighbourhood of $f(x)$ as well. And as we saw, this is by no means garantueed from just being continuous and bijective.