[SOLVED] Turn off the content protection and it works
you need to disable content protection in your security options, then media player continues playing even when the device is locked.
Depending on the policy content protection may be forced. You have to ask your sysadmin to disable it in the policy. Don't ask me for the option, I have a german BES:
'Sicherheitsrichtliniengrupe->Verschlüsselungsstufe für externes Dateisystem->Nicht erforderlich'
'security policy->encryption for external file system ->not necessary')