That option locks the screen after inactivity, I mean the option that ONLY blocks the phone after x seconds when the screen turns off, not automatically, so if you turn off the phone but remember something, you can turn it on again but the phone is still unlocked.
The option is in (mine is in Spanish, so the text won't be the same)
Settings - Security and privacy - Unlock the phone - Screen lock (pin) - lock after screen timeout (doesn't matter the time I put here)