Here is the elaboration:

This is an issue with how mouse and keyboard grabs were designed in X. The MKS (i.e. the virtual machine thread to interact with mouse/keyboard/screen) grabs the mouse and keyboard, and it appears as though this screen lock application is also trying to do it. Unfortunately X provides no feedback to the MKS that another application is requesting a grab so there is no generic solution to this problem.

And in this thread, some users also mentioned the issue with other virtualization software.

1369880 – Unable to Lock: lock was blocked by an application

So the issue is Linux host specific.

We have a KB with the workaround, but it is too old. We are working on an update.

Thanks for reporting the issue.