By design, and it’s an important security aspect of desktop sharing/screen sharing, NoMachine by default gives priority to keyboard and input events from the local user logged-in to the remote computer over input generated by a user connected remotely via NoMachine. So to lock input only would undermine this.
To answer your other question:
“Is there a way to blank the screen and lock input on the remote connection on-demand after connecting.”
Yes there is. You use the same checkbox that you use in the server settings to blank the screen upon connecting. During the NoMachine session just go to the !M icon of the desktop you are connected to and open the Server settings. Enable screen blanking on the fly. Once you’ve finished, you can disable it and then disconnect.