After recent update 10.15.6 + 2 supplements when my iMac wakes from Sleep the screen is locked. Also all open apps are closed. When Shut Down at startup the screen is not locked as is normal. System Preferences does not require password after sleep or screen saver.
To find out if it's system wide or user specific, try this...
Open System Preferences>Users & Groups, unlock the lock, click on the little plus icon, make a new admin account, log out & into the new account.
Does it work in the new account?
I followed your instructions - switched to another user account with admin and waited until it went into Sleep mode. Waking up I had the same result - Locked screen requiring the account password to open. Note: in both accounts if I manually put the account to Sleep I can reopen it soon after without having a Locked Screen.
Lock screen after Sleep
