I would also very much like to see this feature as it a potential security lifesaver.
I'm unlikely to know if my laptop's about to be stolen, so I don't lock it every time I get up from my desk. I have my machine configured to require a password when returning from screensaver but this means all a potential thief has to do is keep the laptop
awake and they can get at all my data, even if the entire drive is encrypted.
I can't configure the laptop to sleep when the lid is closed as I often need to keep processes running when the lid is down.
The easiest and most user-friendly thing would be to shut the laptop lid when leaving my desk and know that if the laptop gets stolen its content can't be accessed.
This feature was in XP and was really useful. I guess this is another irritating change Microsoft made with no reason other than 'simplifying' the UI.