Comment on Aurora

While the workaround posted below would work, Aurora already includes this functionality. The reason it doesn't do that after waking up is that it wouldn't be able to run the next alarm if it switched screensaver password protection back on, making the whole feature useless.

If you disable 'Enable alarms when Aurora isn't running', Aurora will re-enable the password when you quit Aurora, and your Mac will be safe whenever Aurora isn't running - keep in mind you need to have it running in order for the alarm to go off then. If security is a concern, I recommend going that route, and leaving Aurora running overnight only.