My phone (SE Xperia X8) has a capacitive touchscreen, which, I'm told that only reacts to fingers.
So does it have a point to have lockscreen enabled?
I use Cyanogenmod so I can easily disable it.
You're almost right.
Capacitive screens can detect anything that's conductive or has a dielectric difference to air.
Here's a good Wikipedia article about this.
If you carry your phone in a pocket, you can easily activate the screen without noticing it. Try this:
Put some cloth (eg. Jeans) between your hand and the screen, now if you press it hard enough the touch will register.
If a button is accidentally pressed while you slip it into your pocket and you have lockscreen disabled, it's that much easier for your butt to dial someone. And you don't want that do you?
Capacitive or not, the default Android behavior is that the touchscreen is disabled when screen is off so you always need to press a physical button to wake up the screen. If the physical buttons in your device cannot be easily accidentally pressed while the device is in your pocket/bag/wherever-you-usually-put-your-phone and you don't need the security of a password/PIN/Face-Unlock, then there should be no issue to use no lockscreen. FYI, this option is available in stock Android 4.0.