In order to prove that this is not the case, I set up a virtual machine running windows 10 on my PC. Set it up with minimal specs such as 2GB RAM, 50% of 1 CPU core to use, etc. I attached Lighting node pro to it under USB devices and setup iCUE on it.
Lighting effects continue to work when I lock my PC. However, they stop when I lock my virtual machine. This is the only workaround I've found till now.
Corsair should fix this issue ASAP.