Varies by model. Refer to your thermostat manual for the Screen Lock feature.
The T9/T10, T5/T6, RTH9580WF, the RTH9585WF, and the TH9320WF (WiFi Color Touchscreen) all have a screen lock feature.
Keep in mind that the screen lock feature only blocks changes on the thermostat screen itself. Users with access to the thermostat via the Total Connect Comfort or Honeywell Home mobile apps can continue to control all functions via their app.