We are using Outlook 2010 SP1 on Windows 7 Pro 32 bit. We have a group policy which locks computers after 15 minutes of idle time. When the computer is locked either by the policy or manually locking the workstation Outlook notifications no longer play any sounds for notifying appointments reminders, task reminders or new email deliveries.
From some simply google searches it seems like the answer is that Outlook will not play notifications at the lock screen, however I can't believe this is the real right answer or that there isn't some sort of work around. The whole smart phone industry is built around sound and light notifications whether or not the phone is locked so Windows OS should have the same configurations. The work around of not locking your workstation is not a very secure answer.