Yes...there's an important difference. If you want stuff to run in the background, then lock it. If you sleep it, then it actually hibernates.
There's actually quite a bit of nuance with the different ways you can turn off your Windows computer
- [Dave's Garage - You're Doing it Wrong: Rebooting! Find out why! - YouTube](https://www.youtube.com/watch?v=lUIhzACQDAc)
- From a guy who helped develop Windows