Update (and this is weird...)

I now experimented with the "proximity sensor" a bit and what I found is that if I cover it with the finger or a piece of paper while there is an incoming call, the screen does stay "black" until I remove the finger/paper. I can also "make" it black again on the same incoming call by covering the "proximity sensor" again AND I also see that there is good 5 - 6 millimeters of space between piece of paper and sensor, within which the screen still stays "black".
The weird thing is that once I put the phone into the pouch, the "proximity sensor" stops working (screen gets activated on incoming call). I am 100% certain that sensor is covered by the pouch walls, yet the screen lights up on incoming call, as if the sensor does not "see" the pouch and "disregards" its proximity
In another "experiment", the phone was in the pocket and the sensor worked as intended (screen does not light up till pulled out of the pocket).

Something weird is going on with that pouch.

Also, while I'm on it, but on the separate note, could anyone recommend how to set the phone to stay locked, so that before I can answer the calls I ALWAYS would have to "Swipe to unlock"?
This would help in my situation and I think other users may prompt for this.
New application perhaps?