Not advanced exactly but yano

Basically when you lock messenger show the window that shows hen you change your status to away?? So you can set your Personal Message, a name tag and an auto responder

??

Pre-set a personalized status with a name, for example, Messenger Lock and then set "Change my status to" option under Messenger Lock section of Preferences to this preset status (yes, it has to come to that list, if not, click Apply once to have it in the list). So it will personalize your status with that preset while locking Messenger. If you don't want a constant personal status, then untick "change status" option and personalize your status before locking Messenger.

Getting a window while locking Messenger is against the spirit of lock feature because lock feature is supposed to hide all windows related to Messenger and MsgPlus! at the moment of locking.