I have been playing with my new 41CL for a few weeks now and have succeeded in locking it up several times now. Generally, once it locks up, if I remove the batteries for 10 seconds and re-insert, whatever was on the locked-up display reappears when I turn it on, and it is still locked up. If I leave the batteries out for longer, I lose the time and date in the Time Module, a small inconvenience.
Trying the Master Clear sequence does not work and adding the ENTER key to the sequence does not generally help either. This sequence seems to have worked for me the past two lockups and preserved my clock settings.
Remove batteries. After display disappears, reinstall batteries. Press and hold these three keys in order, ENTER, CLx, ON. Release these keys. The display will still be off. Perform a normal Master Clear (hold CLx and press and release ON). This has unlocked the device, performed a Master Clear, and preserved the Time and Date settings.
BTW, I've locked the 41CL up by running a physical HP-41C diagnostic module at Turbo 50 mode (non-Turbo worked pretty well). I've also locked it up by testing the ROM/RAM flag behavior when the 41CL has 'auto-offed'. I also loaded an ES RSU ROM page, and upon turning on the 41CL, it locked up, likely because the ROM was looking for its normally associated RAM, which was not available.