Yes it should work OK. A typical situation might be that you started an idea with the metronome on say 60 BPM and you play in midi data accordingly. But later you realise that the music is in fact really at 120 BPM instead or you would rather be thinking of it there instead.
So by locking the clip and selecting DATA as the option the midi data simply is not allowed to change. But now you can go in and tell the session to be 120 BPM instead. Nothing changes in the music at all. All midi start times remain as they are and the note lengths remain the same too. (Actually one could consider that the start times in relation to the click have been changed but the music remains unaltered)
Now your session is clicking away at 120 BPM and the music is still the same. So it is where you want it to be which is pretty handy I believe. As I mentioned Studio One changes the midi data. In this case if you changed the BPM to 120 BPM the music would all be twice as fast as you played it in. Except they give you the option to halve the music tempo again which puts it all back to where it was except you now have a session running twice as fast and the music is back to where it was. A different way of going about it but the same result. Studio One also has a slider that allows either a continuous stretch of the midi data or speeding it up also on a continuous basis. Where that is cool is if you want to change to a tempo that might be 1 1/2 times or 2 1/2 times the original. But you can do that in Sonar too by just locking the clip data and tweaking the underlying tempo to anything you may want.
Where the continuous slider comes into its own is if you want the tempo of the session to actually remain where it was but you want the midi data to spread out by say 150%. This means what you played in slows down and spreads out by any amount. To be honest I have not used it yet but you never know. I think in Sonar you can do the same thing by altering note start times as well as lengths.