LXDE does not come with a screen locker of its own. See List of applications/Security#Screen lockers and #Autostart on how to start them.
The Screen Lock icon executes a script (located at /usr/bin/lxlock) which searches for a number of well known screen lockers and uses the first one it finds to lock the screen. See lxlock on GitHub.
/etc/xdg/lxsession/LXDE/autostart (from the lxde-common package) lists XScreenSaver which will be launched automatically.
See DPMS on how to control the screen saver without external programs.