When locked the watch will still maintain it's connection to iPhone (or will look for it if not connected) and it also keeps reading the accelerometer. Which is sort a good thing because you might put it on your wrist but not bother to unlock it but still want it to track your fitness.
In case you have not calibrated the battery meter it's possible that it's giving wrong numbers. Just let the battery drain so that the watch goes automatically to power saving mode and recharge it fully. I'm not sure what the exact method to properly calibrate the watch's battery meter is but doing that seemed to give me slightly better numbers. (just remember that there's no need to calibrate the battery meter - the battery will function just fine without - and there's no point calibrating it more often than once a month or so and it's even slightly harmful for the battery to let it drain too low.)