[Triscuit]

I've got mine working exactly as you described. I'll give you a run through of my basic settings and see if that helps.

General Settings

Lock when device wakes up - ON
Lock when Screen is Blank - ON
(Everything else OFF)

Power Settings

On Battery Power:
Lock when Backlight turns off - ON
(Everything else OFF)

On External Power:
Lock when Backlight turns off - ON
(Everything Else OFF)

Then I go to the power settings the the Start>Settings>System>Power>Advanced and set my times

5 mins each on Battery
10 mins each on External