When you setup a pin code it will be better to hide standard option Lock . Obviously you set a PIN code because you want to protect your data. (Of course it is easy to remove SD Card with data, but anyway).
In current UI you choose more often Lock, because it first item in the list, instead of Lock with PIN.
When you unlock device with PIN code you must type PIN code and press OK button. Why do not you make it like on mobile phone? When you type code and if it right the phone unlock without pressing addition keys.