I think it should not matter at all, specially if you use a fork that is tuned with the generally advisable sag or less, and if available, other parameters like rebound are tuned properly.
Locking forks where created mainly to eliminate pedal bob when pedaling really hard. Most of the people I ride or have rode with, have no need to lock the fork when pedaling at mid pace on flats or even in not so steep climbs. At least in the forks Iv'e used, rebound control helps against pedal bob. I have a locking fork, but I rarely need to lock it, not even on steep climbs (admittedly, I'm not a fast climber even though I really do enjoy climbing steep hills)
A fork with a lot of sag, specially with a lot of travel, or a fork with too little damping (too fast rebound), can feel dangerous on descents, but I think that if the fork is too soft for smooth roads, then it is useless for aggressive, technical MTB descents. All of this is to say, check that your fork is adjusted properly for your weight and the type of riding you actually do with this bike.
Once your fork is tuned properly, you should do what you feel more comfortable with, that is, adjust your bike and use it's features so you feel safer and ride with more confidence, since that will allow for more ride time enjoying and less time worrying.
If you feel more confident locking your fork on paved descents, then don't doubt about it and use the lock. The only reason I could find not to do it, is if you think you may encounter some unexpected obstacle while going down, but, in that case, my advise is to not go full speed on a road/trail you are not familiar with. Some forks do have such a feature that if they receive a hard enough compressing force while locked, they release the lock either temporarily or until you unlock and re-lock. Look for this information in your fork's user manual.
If you are "new" to MTB, I recommend working on your descending skills, I really think that once having the confidence for technical descents, you shouldn't worry about locking or not on smooth/paved.
I'm sure that MTB being my primary ride discipline, I'm so used to the fork travel and weight shifting that when I'm on paved road, I don't even think about that in particular, I just feel I does not affect me at all and I think It comes down to a very different braking technique. When MTB riding, I apply sharp brake strokes that go almost to full hand strength and then quickly release. In contrast, while in road I apply the brakes gently, in long, slowly modulated strokes that are so less prone to produce sudden brake dive. Besides that, MTB "cornering" and road "cornering" have such different turn radii and happen at such different speed that I don't think they are comparable in terms of technique.
I'm an MTB rider with some experience in Downhill racing and have also done some road riding on rigid fork hybrid bikes, so I can say I have experience in riding with forks ranging from 0 to 200 mm. In my road riding (I don't do road racing) I've been able to keep up with experienced road riders going downhill on paved roads with both, a rigid fork and a non lockable air fork, in the same stretches of road, and I did not feel any problem with the fork compressing when braking.