With the iPhone 4 you don't get turn by turn when you're on the lock screen.
Only when it's actually running.
Like wise you don't get turn by turn when you swap over to the iPod app.
In fact it doesn't look like Maps is multi-tasking at all in beta-1 because if you switch over to any other app for more than about 20 seconds you lose the location indicator at the top of the screen.