From the PC you are connect from, go to 'Extras' --> 'Options' --> 'Advanced' --> 'Show advanced options' --> scroll down to the bold section 'Advanced settings for connections to other computers' and there you will see an option with a dropdown: 'Lock Remote Computer' with options 1) Always, 2) Never, and 3) Automatic
Not sure if this is the exact answer to the original question (as I merely skimmed it, noticed it was QUITE old and jumped to the end) but it has worked for me thus far. If I set 'Always' .. all computers I connect to from the connecting PC will lock when I disconnect the session to the remote PC. (IE: home PC connects to work PC and, once finished, I disconnect and the work PC locks itself). Conversely, if I am at work and connect to home and I set to 'Never', when I disconnect from that home PC it does not lock.
Perhaps this will help some, like myself, who were simply looking for this setting.