Login problem with second monitor, macbook pro 2014, OSX El Capitan

There are a few threads describing issues with dual monitors, but I haven't found a match.

I like for the OS to ask for login password after the lid is closed, regardless of how much time has passed (even an instant). Also, I work with a dual monitor. However, when my macbook is plugged in to the monitor and I close the lid, the macbook doesn't log off but just switches primary monitors. Understanding this might be a feature and not a bug, I tried to unplug the monitor before closing the lid. But the OS seems not to realise that the monitor has been disconnected, and when I close the lid it doesn't prompt me for my password once I reopen it. It does this also if I wait a bit (i.e. a minute) after unplugging the monitor, but not if I wait a while (i.e. 15 minutes), although I haven't quite pinpointed how much time is required for it to start locking upon my closing the lid. It does this with different monitors, so I doubt it depends on the particular monitor. In both cases I used the HDMI port.

This is quite annoying, as I need to be able to securely log off in a short amount of time, and I haven't been able to find a workaround on my own. Is anyone else experiencing this? Thank you very much for any help or advice.

Emilio