Yes - it is a known BOINC issue. Basically it has to do with how windows does security when you have that box checked (when you check that box, the screen saver runs in a protected space that prevents the research application started under your user id from being able to draw on). As a result, the graphics cannot be rendered within the BOINC screen saver with that box checked.

The in-progress BOINC 6.0 client totally changes the architecture for application graphics and this problem should go way when someone uses the new client with a research application using the 6.0 way of doing graphics.