The only way to make it work is to set a password on all the accounts. You can choose a normal or picture password which may help the transition.
I have looked for a long time on this and went through many articles on how to bypass the lock screen hoping it would lead me to a way, as I could find only a few articles on forcing the lock screen none of which worked. But there is not. Windows attempts to bring up the last logged in account. If that account doesn't have a password it will log it in. So, if you have multiple users and you do not want them to login automatically then they have to set a password.
I don't like the answer either, but it is true. I have 4 users, (wife, 2 kids and myself). I set a password on mine, but the others do not.
A waste of time since the other 3 are locked down and can't do anything. It is like asking for a password at a kiosk.