I turned off "In-Game Overlay" in the GeForce Experience control panel.  Now they do as they're supposed to. Thanks again for all the help guys... 
I have a Dell XPS 8940 with an NVIDIA GeForce RTX 2060 Super running 2 Dell U2719D monitors, one connected via DisplayPort and one connected via HDMI.  The computer is set in 2 spots to time out the monitors and lock after 10 mins.  It will not do that.  I turn off the monitors, when I turn them back on, the computer isn't locked. Kind of at a loss here.
XPS 8940, security issue, won't lock