Ok i'll be honest, I found this a few days ago but made no issue off it as there are ways around it. But since we have this forum now I may aswell post it.
When you try and lock the mini by going : Start -> Log Off -> Switch User : it doesn't actually do anything, so weather that is a bug with the compressed version of xp installed or not, I'm not sure.
But the simple way around it is just closing the lid, and then when you open it again it will ask for your password (thats if you set one!)
So yea its nothing major, just a small bug