Not sure what you mean by "stays locked"? Meaning you have no way to access your home screen (and the 6 others) while charging? Meaning the screen turns off after a given amount of time such as 30 seconds and locks?
If you want the screen to stay on at all times while charging its Menu > settings > Applications > Development > check mark stay awake.
If you want the screen to just not lock (require a pin code) while charging but the screen to shut off, I don't think that's possible.
If you want to extend the amount of time the phone takes to lock (require a pin code) its Menu > settings > security > Lock phone after. changing this will change the lock time while the phone is charging or not charging.
This may not be a Hero EVO thing as much as it is an eclair froyo thing. If I recall correctly, when i had Eclair on my EVO this worked fine. It was when Froyo was introduced that it disappeared. Also i just verified with a friend who has the DINC that when on 2.1 he had that option as well and it disappeared with 2.2