"General Computing" is the least worst choice for Windows questions here, so I moved your post.
Anyway... I've got Windows 10 here. I made the lock screen appear (Ctrl-Alt-Del and select the "Lock" option); but holding the shift key does nothing. No menu to select "restart" there. So there must be something different between our two systems. Dunno what that might be.
And yeah,
you should back up that stuff. There are scenarios other then friends joking around -- you could drop the laptop and lose the data. I've got a 1 TB hard drive which I use to back up my "important" stuff but I'm still worried about what might happen to it. One house fire which burns up the computer and the backup drive and there was no point in doing the backup. I've even taken the hard drive on vacations ("offsite backup"), but I should really change my process and back up to the cloud.