In MATE, the screen lock feature is disabled by default. After being idle for a while, the screen will be dimmed and you can re-activate it by moving the mouse or hit a key. For security reasons, you may want to enable the screen lock feature. Here is how to do it:
Hit Alt + F2 and run "mateconf-editor" to open the Mate configuration window. Go to apps > mate-screensaver then check the line "lock_enabled". You can also edit the line idle_delay to change the minutes of inactivity time before the screen lock is activated.