I can confirm this bug in gnome-screensaver. I use Thinkpad X220i. I think it might be connected with the fact that on (new) Thinkpads there are something like TWO num locks, one is for an external keyboard and the other - for the internal one. I came to this thought because there is an option in BIOS settings to decide whether they should be manipulated separately or not.
I haven't tried to change BIOS settings though, left them at defaults. The last note: this warning is not present in KDE default unlock dialog.