Whether or not your test can run on a locked machine depends on the specific test. Tests that use pure HTML DOM actions (set text, element click, drop down select, etc.) will work just fine. Unfortunately any test that requires moving the mouse (mouse desktop clicks) or simulated keyboard input cannot run on a locked machine. All Silverlight tests fall into this category and some HTML tests do as well.
This is a Windows issue. When the machine is locked Windows removes the "Interactive Desktop" permission from your logged on session. This blocks all mouse and keyboard actions.
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