Lock Screen. How does it work?

I am getting confused about Screen Lock and what it is exactly. When I shut down my iMac computer and then turn it back on, I am confronted with a fairly bare looking screen in the centre of which is a box containing my user identity and a blank field into which I can enter my password. Is this screen an example of a locked screen? I press the little arrow symbol to enter my password and the computer display comes to life with all the normal items on it such as the menu items along the top of the screen, the dock items, desktop items etc.

The penultimate item in the drop-down Apple menu is Lock Screen. I would like to explore what this is but I'm nervous about clicking on it in case I get a locked (frozen?) screen that I can't get out of. Is it the case that you unlock a locked screen with the same password referred to in my paragraph above? I am not aware of ever having been asked to set up Lock Screen with a password or code etc.

My penultimate aim is to set up a piece of IP camera viewing software behind a screen lock. This software has to remain open when I am remote from my house and will not work if the computer is asleep. At the moment, I set it up, turn on a screen saver and leave the house safe in the knowledge that I can view my camera footage remotely. If an intruder were to access my keyboard, he/she would have immediate access to my computer, but not if I could leave it in a screen lock condition. I'm not very tech minded and don't want to lock myself out of my screen / computer.