Hello Ali,
Thank you for reaching out to Microsoft Q&A and informed us about the issue. In order to set up the PIN upon screen lock as you desired, please try this method:
Configure Screen Saving:
- Search for Change screen saver in the windows search box on the start menu
- in the Screen Saver settings dialog, choose a screen saver > Set the wait time to the duration you want before screen turn off and locks
- Check the box that indicate "On resume, display logon screen" > Apply > Ok
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