I'm glad we all know what is being talked here anymore.
Cookie, I didn't express the special case with Plus! menu item that it won't popup any window, because I believe (d) the forum regulars (who would support this suggestion) will know that(warmth and john-t knew these I think, because they didn't say any wrong thing about this feature, congratulations guys)
But I still can't agree with the idea of only one popup in which "how they can unlock it" being explained (when user presses the shortcut) because if user didn't want to lock messenger really while pressing that hotkey and will "Remove Shortcut", why would that pop-up say to him how he will unlock it like "If you press "Lock Messenger", be advised in advance that you can unlock it with blahblah"
(I don't prefer two consecutive pop-ups as well but ...)
there is /lock command also, but I don't think newbies can find and use it for their first lock, ermm, still they may.