When you authenticate with bootguard, that the moment where the files allowed access essentially. If, for arguments sake, someone stole your laptop whilst you were working on it in a coffee shop, they can copy the data off. If it's off, or hibernating, they will have to know your password in order to access any data.
If it's a normal windows screensaver, the files are still open for accecss. If you want to be sure, hibernate the machine or turn it off.