I locked with Ctrl-Shift-Power and was able to unlock with my phone. Does Knock use this shortcut to lock with its own lockscreen, or is it using the real lockscreen? I'm not sure.

I just tried this and yes I see the Knock login screen. There is a possibility that I am wrong but I have seen apps that do this sort of thing before and they can't lock using the system lock because there is no way for an app to unlock the system lock. I would guess that Knock just hooks that hotkey combo and shows their screen (Which again, is just a fullscreen app at it's core). I have never locked using that hotkey combo before so I'm not sure. I always use Alfred to lock.