Sure, with the `New` lock will be released.

Interesting.
I don't have environment to test wit Native API, but perhaps you could test explicitly "ProcedureBlock" instead of default behavior. Just by using the class key word "ProcedureBlock"
ex:

Class ZUser.NewClass1 Extends %Persistent [ ProcedureBlock ]

edit : also you can try with [ ProcedureBlock = 1 ] on the classmethod. doc link

Code snipet to expose the problem.

Class ZUser.NewClass1 Extends %Persistent [ Not ProcedureBlock ]
{

ClassMethod Demo()
{

    Do ..TestLock()
    ; This class is Not ProcedureBlock the record still locked

    ; If the class is ProcedureBlock the record is released.
    ; try by yourself :-)
}

ClassMethod TestLock() As %Status
{
    Set id = $Order(^ZUser.NewClass1D(""))
    If id = "" {
        Set obj = ##class(ZUser.NewClass1).%New()
        Do obj.%Save()
        Kill obj
    }

    Set id = $Order(^ZUser.NewClass1D(""))

    Set obj = ##class(ZUser.NewClass1).%OpenId(id, 4)

    ; in case of usage Not ProcedureBlock you should 
    ; kill obj or set obj="" (and all others variables with this object reference) to release the lock


    Return $$$OK


}
}