The reason we show the dialog you're referring to is because we need to know when to display the UAC prompt on the secure desktop. There are interesting problems here like when should we start the UAC dialog timeout or how do we handle multiple elevation
requests. This dialog was our way around these issues. I use that configuration so I can appreciate what you're seeing.
As for the screen saver password timeout, open the Control Panel and in the Search dialog type: screen saver password. That should provide you a menu to change the timeout.
One other thing I do is just press Windows Button + L whenever I leave my desktop. That will lock your desktop.