I tested your hypothesis with a python script. The attached script creates 500,000 points and buffers them to 5 units. I ran two trials for three runs--one without locking and one with. It appears that locking the desktop does indeed increase the processing time.
# Import system modules
import arcpy, os, time, ctypes
from arcpy import env
env.overwriteOutput = True
# Create random points in an extent defined simply by numbers
outFolder = r"C:\Users\OWNER\Documents\ArcGIS\Default.gdb"
numExtent = "0 0 10000 10000"
numPoints = 500000
outName = "myRandPnts"
start = time.clock()
# Create some random points and buffer them by 5 units
arcpy.CreateRandomPoints_management(outFolder, outName, "", numExtent, numPoints)
arcpy.Buffer_analysis (os.path.join(outFolder, outName), os.path.join(outFolder, "buffers"), 5)
end = time.clock()
final = end - start
print "Trial 1 (no desktop locking) took " + str(final) + " seconds"
# Lock the computer and run trial 2
user32 = ctypes.cdll.LoadLibrary("user32.dll")
user32.LockWorkStation()
start = time.clock()
# Create some random points and buffer them by 5 units
arcpy.CreateRandomPoints_management(outFolder, outName, "", numExtent, numPoints)
arcpy.Buffer_analysis (os.path.join(outFolder, outName), os.path.join(outFolder, "buffers"), 5)
end = time.clock()
final = end - start
print "Trial 2 (with desktop locking) took " + str(final) + " seconds"
