On Windows Server 2008 R2, when I lock the machine, when I return, the Logon Screen screen doesn't remember my username:
I definitely still have a session, because when I log back in, it remembers the state for everything.
This is different that the way locking is handled in most other servers where the username is pre-filled, like this example in 2012:
Where can I go to change this setting?
Looks like a local or domain group policy. Run gpedit.msc on the machine in question and expand the following policy tree:
Set that to "Disabled" and see if that does it. You can run
gpupdate /force
from the command prompt to apply the policy change right away.Also, or instead, check the same setting on any GPOs at the domain level that would apply to the server in question.