This sleeps/suspends rather than just locking. Equivalent to closing your MacBook.

If you have your Mac set to never sleep/are using Caffeine for instance, then it simply puts the display to sleep, the rest of the computer keeps on humming along.

Not entirely equivalent to closing your MacBook.

Doesn't change the fact that cmd+shift+eject doesn't actually do anything (unless it's on an older version of OSX)

Correct, I wrote the wrong key.