Your sending a lock doesn't change the settings you had on the phone prior to losing it.
If messages were showing on the screen - they will still show.
If not, they will not.
You could send a remote erase (and then lose all ability to track it again) and have it resort to the default behavior. I'm hesitant to erase my phone now to test, but am fairly certain the default is towards privacy and further messages would not be displayed on the lock screen when the phone reboots or is powered on again.