When I lock my computer, steam stops downloading updates. For example today, I came in the evening and there was an update for a game that I play. I could see "Time initiated" to be 14:30, yet nothing was downloaded and it was just starting. I could reproduce this. If I locked my PC and came back 10 mins later, the download speed graph clearly indicated no download is happening.
Is there some settings in Windows 10 or Steam that affects this? I can verify that the computer does not disconnect when locked - other download clients download even when locked and I can connect via team viewer.