On the Find My iPhone app, I have locked my Macbook so no one else can get on it. I have the Messages app opened to receive my iMessages, but someone turned the Macbook on, it connected to wifi, and became locked.
Will I still receive my iMessages from when it was locked?
The Mac being locked shouldn't impact on the delivery of the iMessages. You should still receive all the iMessages regardless of when the Mac was locked.
Don't forget you may want to turn off "Show notifications on lock screen" for Messages under the System Preferences for Notifications. But agreed, regardless of which iDevice is turned on, iMessages should be going to all of them simultaneously.
If you get the computer back and unlock it, you will only have the last 1 week of new messages.
When you lock a Mac through iCloud, it will not boot until someone enters the correct passcode. According to Apple's security guide, undelivered iMessages are stored on Apple's servers for 1 week before they are deleted.
