Some machines are having problems with the lock screen not asking for authentication for secure situations. This can lead to unauthorized use from a stolen machine etc. The whole idea of using a PIN is to make the machine more secure.
Right click on the start button and select run, then type
Now double click on Administrative Templates, then double click on Control Panel
Now for each item, change them from not configured to disables so that the policy is properly activated. Its not clear why this problem exists only on some machines.
If you want to disable the lock screen then simply enable the policy.
Machines with a fingerprint reader are also affected.