This document is relevant only if you have selected the radio button for "Use my user account password" in the Screen Saver pane of System Preferences.
When Screen Saver is active and you attempt to dismiss it, an authentication dialog appears. Entering an incorrect password dismisses the dialog and returns you to Screen Saver visuals. There is no "incorrect password" alert message.
For more information, see technical document 61319, "
Mac OS X: How to Use the Screen Saver to Protect Your Computer".