In Silverlight 3 Microsoft made it possible for users to 'download' a Silverlight page to run as a local application. A good idea originally by the team at Novell creating the Moonlight variant.
In Silverlight 4 this local version is able to be a full trust application and use, for example, COM to perform operations that are not permitted when Silverlight is running in a browser hosted sandbox.
So as a developer, I have a choice:
1) I can create a rich application that is able to run in several browsers on Windows and Mac (and if I choose to limit myself to the Silverlight 2.0 feature set on Linux); or
2) I can create what is really a desktop application that's easy for users and corporate administrators to roll out (none of that install step) but which can behave like a desktop application.
That arrangement maybe your lock-in. But it's my choice. I only wish AIR (Flash) would be as flexible.