Okay, after a 5 minute run through...
Opened safari without Apple rotation lock engaged.
Rotated safari to landscape, engaged rotation lock. Safari stayed in landscape. So far so good...
With rotation lock still engaged, closed safari and opened Twittelator (an app that runs in both orientations). Twittelator opened in portrait, and was locked in that position. I had to disengage rotation lock, turn the app to landscape, and then re-engage.
I'm sure this is how it was designed, but for me if I'm wanting to work various apps in landscape, I would prefer that they opened up that way once I had put the lock on for a previous app.
I would therefore look at this as an application specific, one at a time rotation lock, not a system wide option. Works as designed, not sure it's exactly what I would want. Others might be perfectly happy with this.