Since VMware uses Ctrl-Alt-Ins in lieu of Ctrl-Alt-Del could I suggest an update to the way Ctrl-Alt-Del is handled.
By all means, display the warning dialog box the first time. It's a useful way to learn about Ctrl-Alt-Ins, but put a tick box on it saying "don't show this warning again".
If I'm running the VMware console now I know full well now when to use Del and when to use Ins. Having that stupid warning come up every time I go to lock my machine is just annoying.
Ross