Currently, the option "Lock when screensaver starts" only appears to work when the screensaver is on and starts. KWallet should also lock wallets when the screen is turned off by the power manager, even if the screensaver isn't active, as these two situations are very similar to most people (having the screensaver turn the screen black vs. having the power manager turn the screen off). Reproducible: Always
Which version of KDE is this? "Close when screensaver starts" (not "lock") doesn't work for several people in KDE 4.11 or 4.10 or earlier versions (see bug 254273 and bug 288508).
This may be a duplicate of those bugs, as I am using KDE 4.10.5 and can confirm that, when the screen is locked and that option is checked, it also fails to close the wallet. Resolving as duplicate of #254273. *** This bug has been marked as a duplicate of bug 254273 ***