There are a lot of screensavers (xscreensaver, gnome-screensaver, light-locker) Only light-locker supports locking after X minutes, but it is buggy. Why there is no option to lock the screen when powering of the display?
If you want to support something like this, you need a built-in timer, which xfce4-power-manager doesn't have at the moment. Light-locker also doesn't have one, but it uses the (signal of the) ticker that X11 has builtin and that triggers the blanking of the display. In the 1.5 cycle we don't really add new features anyway, it's more or less a port. So maybe this will be added in the future, but frankly speaking I don't have any interest in implementing this.
Four years later and things haven't changed. Plus we have xfce4-screensaver now which provides what you asked for.