Tested it and had no problem - this may have been a problem with the specific radio app they used (back then it was the only one available). I use (and recommend) QRadio.
OR - This may have been a bug that was fixed in the latest revision of the firmware (PR1.3), which is possible because earlier revisions had problems with sound when the device is being locked / unlocked. You may want to consider reflashing to PR1.3 if your phone arrives with an earlier revision (actually this is recommended regardless of the FM radio issue).
And anyway, note that the bug only relates to locking your phone with a code, not the general screen / keys locking to prevent accidental input when the phone's in your pocket.

A few notes that you should note about FM receiver functionality if you plan to use it extensively, though:

• The FM receiver can only work when wired headphones are connected because it uses them as an antenna. Most (if not all) FM radio apps allow you to play the radio through the loudspeakers but headphones are still required. Note that this is also true for all other Nokia phones and as far as I know all other phones that have FMRX capabilities as well.
• The hardware that enables the FM receiver is actually part of the Bluetooth chip so unfortunately Bluetooth must be enabled for FMRX to work. Most FM radio apps will turn it on / off automatically for you, but the downside is that it increases battery consumption when in use.
• There is no direct bypass from the FMRX hardware to the sound system (or more precisely, there is, but it cannot be used since it does not seem to filter high frequency sounds that may damage the speakers) so the sound has to be processed by the CPU. This also increases battery consumption by a degree comparable to MP3 playback. I'm not sure whether this problem is unique to the N900 though.

In short - Yes, the N900 does have FMRX capabilities and if you plan to use it every once in a while then it's a very adequate solution but if you plan on using it extensively then this may not be the ideal product for you.