What's an 'Activity'? I just walked down the street with it recording and locked the screen while it was running, just as I would on the 800s (with a power button hold rather than power button push).
Hhmmm. That doesn't work on mine. If I've pressed start (so an activity is being recorded into the activities folder) then it won't let me lock or unlock the screen. I'll have to see if my firmware needs updating.
And you can't lock the screen or unlock it while an activity is running, for no particularly good reason that I can see.