Just noticed this issue after installing some Lightloop fans and Corsair ledstrips. I had the Hydro h150i pro rgb earlier, but as I was using Corsai Link with it, didn't have any problems. Now that I installed and tried iCUE, this lock screen behaviour was driving me crazy. Thanks to info on this thread I reverted to using Link just to avoid the rainbow effect while locked, but now I feel like all the leds are not utilised as much as they could be.
Was going to change my ram to a set of Vengeance Pro RGB dimms, but will wait until this "problem" is solved.