Linux – Share screen session with users in the same group (Linux)

Nope, you're safe.

If I had to guess about what you found confusing about the man-page, I'd say it was the warning-part. What they are trying to say is that it isn't the screen-session itself that is locked, but that instance on that specific terminal. If you have left shells where the attacker can start screen as your user, they can get access to what you have running in the locked screen.

I'm not sure why this is a scenario though. If it's a server, why don't you just login using SSH? If it's a desktop machine - why don't you run xlock instead?

You'd be better off using Bash's history than screen's. Screen keeps a scrollback buffer (probably in-memory rather than in a file). When you recall commands using Ctrl-a { it's actually digging through everything that appeared on the screen that's still in the buffer that looks like it follows a prompt character. There's not really a command history. You can increase the size of the scrollback buffer using screen -h num or the defscrollback num or scrollback num screen commands, by the way.

You can use warren's suggestion to keep your Bash history up to date. And/or you can use one of my logging functions found here that can save your IP address or screen session ID along with date, time, current working directory and actual command. I use this all the time myself. You may have to set the variable $hcmntextra, which is used by my functions, to include $STY so the screen session name is logged, too.