The screen saver kicks in when there is no activity on the computer
after whatever time you have set. Running a progam is activity and
that's why it doesn't start. For a work around - after you have
everything setup and running in your cap program, go into the
display properties and select 'preview' to manually start the
screen saver. This is not recommended though, it could mess up your
video. It may cause it to skip or become jerky.

Sam

Some capture programs, Hauppauge WinTV2K, for example,
optionally disable the screen saver while in operation.  As Sam
pointed out, you might not want to run a screen saver during
capture.  But you can certainly run an empty screen saver just
to get a blank screen and the password protection you're after
and not have any additional risk of conflicts.