That's just misconfigured then. The system sends a signal to the OS. The OS is then free to do whatever. If you have configured to screenlock then it will screenlock.
Yeah windows boot (realistically, wakeup too) has become ridiculously time-consuming on the few desktops I maintain that have to be windows. If I hadn't already switched everything else I control to Linux, boot time itself would be enough to motivate that.
I always turn it off, reboot is in 2/seconds so it's no problem.
Great laptop, had it for 7 years still faster than 2020 XPS with windows.