The whole process is a bit different from what you're used to. You define a time to shut the screen off and lock the device. It sleeps (while still monitoring for any push updates) after a few seconds of the screen going out. The OS also keeps track of anything that needs to be done while the phone is sleeping. It wakes the cpu, allows whatever needs to use it to run,(twitter updates, facebook sync, etc etc) then puts it back to sleep all without turning the screen back on or unlocking the device.
Another thing along the same lines - the Hero does not use a proximity sensor to shut the screen off during a call. Instead it has a light sensor and allows it to be used to do this. Tom Reay over @xda developers has used the api and made a great application (free even) that enables this. Look for "proximity sensor" in the Market. I was pretty skeptical at first, but it actually works much better than a hardware prox sensor, especially if you have long hair (my wife) or a bushy beard (me) lol.