There is nothing wrong with your monitor, cables, or computer, this is normal behavior, it is a security feature according to apple to lessen the possibility of malware and tampering.
I have 2 S3422DWs and a Samsun 55" TV attached to my Studio and all respond exactly the same way when the system Locks. On the plus side the monitors restart quickly when you click the mouse or touch the keyboard to wake it up (unlike the TV). I have a 3rd S3422DW attached to my Windows PC as well as a 27" Dell monitor and they do the same thing when the screen goes to sleep. Best I can say is that "It's an Apple thing, it must be right, you're not supposed to understand, just accept it".
When you system locks other things can happen also, I have an Elgato Stream Deck+ and Stream Deck XL attached to my Studio, and both go to sleep when the video card output turns off or it goes into screen saver mode.
I'm not sure what the discussion is about 4K is about, the S3422DW is not a 4K monitor and was never designed to be, it's an ultra-wide monitor and will never display a 4K signal as it lacks the vertical resolution - max is 1440 vs 2160 needed for 4K.
You can go to the Settings > Lock Screen and change the timing of the Lock Screen. You can also go to Settings > Desktop & Dock and set a hot corner for locking the screen and other functions - located at the very bottom of the list. With the hot corners they apply to the corners of the total display area and not each monitor - if you have 2 monitors side by side only the outside corners respond, the inside/adjacent corners of the 2 monitors do not activate as hot corners. The same applies to any other monitor configuration where the corner of the monitor does not continue on to another monitor - it must be a corner of the entire display area to activate the hot corner.