I think the choice for Security depends on the working environment and personal preference. I do not lock my keychain manually. I do prefer to automate security by having the system lock the login keychain via the Security preference. I can easially change the timing based on my environment. Better than manually selecting "lock screen" in my mind (I have been known to forget).
Apple makes automation simple: Security & Privacy Prefs > General > Require Password after "N" amount of time after screen saver or sleep begins. The Preference doesn't lock the screen but locks the keychain so that's what I use.
I suspect it is a "bug" as you mention but one that is associated to systems that were either upgraded to 10.8.2 or had users being migrated from systems with older OS's as opposed to systems where 10.8.2 was installed as native and where only simple data migration took place (no settings, preferences, etc).
To support this theory:
I have (work issued) a MacBook Air on 10.8.2 where Mountian Lion was installed as native. Since my previous laptop was a PC the only informaiton that migrated to the new sytem were documents, archived e-mail, and bookmarks. The "unlock" feature from the Keychain menubar icon works here for all keychains.
I also recently migrated a member of my family to a new MBP with 10.8.2 installed when delivered.
Their previous laptop was a MBP running Snow Leopard. The migration was done using "T" mode and included all user settings, applicatons, etc. The "unlock" feature from the Keychain menubar icon does not work on this new MBP either. Same behavior as I am experiencing.
Therefore, I conclude that something in both the upgrade and migratrion processes is causing an element of the Keychain Access menubar to behave abnormally. Not as desiged or intended.
I wonder if anyone else has had the same experience and if Apple may fix in the next release. Sure would be easier that a clean install with no guarantee of success.
Did you upgrade from a prior OS?