I've poked around in settings but haven't found the right one.
This question poses almost the opposite problem.
I have my power management set to hibernate when I hit the power button. When it resumes from hibernate, the screen is not locked.
I have my screensaver set to not lock because I want to be able to avoid the password e.g. after reopening the lid when I haven't hibernated.
But I'd like to have a password set automatically when resuming from hibernate in case the laptop is stolen so that at least there's a slightly higher degree of difficulty to steal data.