No lock screen when the right click menu is open

I just found that the lock screen on my laptop does not show up when the right click menu is open. I discovered this when I pressed the right click button by mistake while closing the lid and the laptop went to sleep, but the lock screen never showed up when I opened the lid again. Is this by design or is it a bug? I would assume that the screen should be locked automatically when the computer goes to sleep, but this doesn't seem to be the case.

Anyone have any suggestions?

My specs are:
Dell Vostro 1500
Ubuntu 12.10