http://windows.microsoft.com/en-US/w...tiple-monitors
Basically when a monitor is disconnected, it moves everything from that monitor back to the main monitor. My guess is that your dock is doing the disconnecting when it turns the monitor off when it locks. I suggest, and I am not sure if this will help, but try changing the "Turn my monitor off after x time" setting in your power options so that it is longer than your lock, but not always on (to something like an hour), then your monitor will stay on while your PC gets locked (presumably by Group Policy).
It is possible that GP also has control over this setting, so you might need to sweet talk someone into changing that for you to test it, if it seriously impacting your productivity.