Should I put grease under the lockring on my cassette?
If the bearings are sealed (so dirt can't get into the bearing), and there isn't an interface (two surfaces rubbing together), than lube is probably not needed.  Adding lube may actually create a dirt-trap as more dirt sticks rather than just getting in there and falling back out.

The threads, certainly.  Packing in behind the lock ring?  Not so much.