i guess Windows 7 is blacking out the secondary monitor as Windows 7 does not wants what background you have set on secondary monitor when your computer is locked.
The Lock Computer Screen hides desktop, applications, taskbar, background and other possible software applications.
So even if the Lock Screen is displayed on Primary Monitor, Windows 7 is supposed to protect the contents of other monitors as well & hence i guess windows 7 is blacking out other screens.
I googled for some 3rd party software that can be useful, but i at this point i could not find any such application.
You can try out http://www.murgee.com/MurGeeMon/ to set different background images on a dual monitor windows.
Also 3rd party application might be difficult to code as well, because when windows is locked, there might not be an easy way to display something else on other monitors.
Alternatively there can be some application that can simulate Windows Locking and simultaneously display something colorful on other monitors. Pre Beta version at
http://www.murgee.com/pc-locker/download/setup.exe, it simulates Computer Lock Screen, Prompts for Signed on User's Password, Disables access to Desktop on Primary Monitor, Disables Alt+Tab and
other Windows Shortcut Keys, Disables Task Manager and cannot control Ctrl + Alt + Del.