Calling the SetCurrentDirectory() Windows API with a path you do not mind to be locked. The issue is that the Common File Dialog function in Windows sets this to the current path whenever it is dismissed with an OK click. So yes it is really a Windows issue. It happens with other applications too, that use the Common File Dialog but you rarely run into that issue there, at least I don't.
The actual API seems to have a flag OFN_NOCHANGEDIR that prevents Windows from changing the current directory if the user browses to a different directory during the dialog, but it is not supported before Vista. So NI still would have to inmplement a workaround around the Common File Dialog call, which admittedly shouldn't be difficult, but it may have implications in areas nobody is thinking about at the moment.
The other issue with files being locked by LabVIEW that another application opened I'm flabbergasted. Never saw that happen so far.