The app may still be open, but macOS directs the visible session to the lock screen rather than the target workflow.
Why locking stops visual playback
Usually no for visual playback. A locked session hides the buttons and fields the recorded mouse and keyboard sequence needs.
Choose a background alternative
MacroLoop schedules should be treated as active-desktop automation. If the Mac must stay locked, move the task to a script, API, background service, or supported scheduler.
Security comes first
Do not disable security controls on a shared or public computer merely to keep a macro running.
THE TAKEAWAY
Visual macros need an available desktop; locked background work needs a non-visual tool.OFFICIAL REFERENCES