If I leave an Shared External HDD connected while MAC is locked will other users be able to access?
There are a few things I'd do to minimise the possibility of an interruption while your colleague is away. You may already have these done, but just to be sure I go into detail below.

Screensaver

Totally disable your screensaver so that it's set to Never. 

Energy Saver

Ensure that both Display Sleep and Computer Sleep are also set to Never.

Enable the Start up automatically after power failure and the Restart automatically if the computer freezes options (although if the Mac Pro doesn't automatically login then someone would need to know the password in order to log in - see Users &amp; Groups below).  

NOTE: 

You can use Terminal to confirm these settings by entering the:

sudo systemsetup -getrestartfreeze -getrestartpowerfailure command.

Users &amp; Groups

If the user requires a password to login you will need to address the possibility that in the event of a freeze or power failure, no-one will be able to log in while they're away. One option would be to temporarily ensure that Automatic Login is not off so you don't hit any surprises on reboots.

To do this go to Login Options and enable Automatic Login.  

IMPORTANT: If you're worried about security, it may be best to create another user on the Mac Pro for periods such as this and use that user account to share the HD etc. Then, when the user is away on vacation etc, all you need to do is set the machine to automatically log in for this user account instead. (Keep in mind this is just an added precaution in the event of a power failure or freeze.)

Also within Users &amp; Groups is the option to have items automatically open upon logging in. So, if you require the Mac Pro to have any particular software running, then you'll want to ensure this is set as a login item. Again, this is just an added protection in the event the Mac Pro reboots for some reason.

To access login items, select the user and click on the Login Items tab. Use the plus + button to add items as necessary.

App Store

During the vacation period it would probably also be good to ensure that no software updates are automatically installed (as some require the computer to restart - hence causing the same issue as a power failure/freeze because of the subsequent reboot).

Go to System Preferences > App Store and uncheck the Automatically check for updates option.

Last resort

If all else fails and you run into problems during the vacation period, don't forget you can just shutdown the Mac Pro and then manually connect the external HDD to other computers for users to access as necessary.