On my phone at least there is an audible gap if you close the phone with the app playing, which doesn't happen with anything else. My guess is that it's fiddling with something in the background to only fetch audio instead of video.
I always assumed this was because they are switching from builtin app code to their override for the feature... I tried opening a video and locking immediately and it seems like it saturates the download speed until the video is buffered X seconds to the future. Another piece of evidence against it is that when unlocking, it immmediately shows the video: it would need to buffer if only the audio was loaded
