Similar issues here
I have a new external 3 TB storage (Intenso, 3,5"). I usually hit Ctrl+Shift+Eject to lock the Computer. When I log in again, OS X (Mountain Lion) complains about having disconnected that drive without having it ejected properly, even though it is still physically connected. I also have some 2,5" drives around which just spin up after logging in again, as expected.
Any ideas how to fix the problem for my 3,5" drive?
Edit: I have to state more precisely: I get the "The disk was not ejected properly." message only when the computer goes to sleep mode. The disk does not spin up afterwards.