You have to use the old Link software if you want to keep your lighting profile while the computer's locked.
To turn them off you set them to static color and change the RGB colors to 0,0,0. You don't actually need to adjust the brightness. If you want the lighting effects back on you have to go back in and change them to the desired lighting profile. Running the old Link limits the amount of stuff you can do with them. iCue has a lot of neat features, but it's useless to those of us who keep our PCs on 24/7 and can't stand rainbow barf.
If you can shut down or put the PC to sleep it's not a problem.