I am currently using Ubuntu 11.04/natty under VirtualBox 4.0.12 with unity-2d. I have guest additions installed. I am not sure if this is VirtualBox-specific, but here is the problem:
After locking the screen, pressing the Windows key on the keyboard brings the Unity launcher on top of the lock screen. Pressing the Windows key again removes the launcher panel but the desktop remains visible where the menu was. You cannot interact with the desktop but you can see what the user was doing. I was not easily able to bring the login panel from the lock screen back but tabbing through the buttons/field brought them back.
This problem seems intermittent. I was able to get it to reproduce in the same manner several times but then it became random.
This definitely appears to be a bug, but is it a Ubuntu bug or a VirtualBox bug?
The following links are to screenshots, the first being the unity launcher under the lock screen and the second being the exposed desktop after unity is closed.