Never heard of this problem before. What kind of keyboard do you have PS/2 or USB? Are you using a kvm switch?
In Lock On's options did you make sure you cleared all the commands listed when you go to Inputs --> SAITEK? There should be no commands listed there if you are using your own profile.
I don't know why connecting to a server would change your configuration but if it's firewall specific. Have you forwarded the appropriate ports? (I don't think this has anything to do with it but it's worth a try.)