Unable Escape Key to Unlock cursor

From the scripting reference

In the Web Player and Editor the cursor will automatically be reset when you press escape. In the Standalone Player you have full control over the mouse cursor, thus it won't automatically be reset unless you switch applications.

So if making a standalone build, it isn't something to be concerned about, and in a web player build it's probably a good thing that the user can free the mouse by pressing esc.

Just for general interest I tested if it's possible to override Unity's behaviour by say, locking the mouse on the next frame but it seemed to me that at least in Unity Editor the mouse could not be locked again before the user had clicked inside the game window again.