There is no "Lock" option showing up in the user menu, and the standard shortcuts (Ctrl+L or Ctrl+Alt+L) don't do anything.
I'm running Fedora 19 with Gnome Shell 3.8.3, and XDM 1.1.11.
I'm using XDM because of broken XDMCP support in GDM - but before I upgraded to Fedora 19, I did have the lock option, even when using XDM.
I've posted an answer reflecting the results of my own research. It basically says that it's not possible to have screen-lock integrated into Gnome 3.8 without running GDM.
I really hope there's a better answer available though - so please add your own answer if there's any way to do this that I overlooked.