We just instituted a policy at work of everyone with a mobile device such as an iPhone or Blackberry having it time out and lock with a password.
One of the Blackberry users reported to me that his Blackberry no longer vibrated to alert him to new messages when it was in the locked state.
I did a little testing and found that if you edit the profile you're using (in my case, the "Normal" profile) so that it always vibrates both in and out of the holster to alert you to new desktop messages, it fixes the problem.
Here's exactly what to do:
If you find a case when this doesn't work, let me know, because I actually couldn't really find any useful tips about this online. I don't know how common a problem it is but I'd like to post any other info about the issue here in case anyone happens across this post and finds it useful!