There are times it can put more stress on the CVs, but that's not without saying there are certain things to do and not do when you have a locker. For daily use, the stresses are largely negligible...on the street (and presuming locked/fixed hubs), it'll only briefly stress the CV until the rotational speed causes the locker (specifically, a lunchbox locker) to disengage. When off-road, there's some added stress around turns, as the locker won't disengage on slow speed turns with torque applied. This is why a selectable locker is generally preferred since turning when locked can be very difficult, and having the ability to unlock is a benefit. In straight lines, it's negligible. Other stresses from minor turns are usually relieved between the tire and terrain.
I'd also say having an open diff is probably more likely to bust a CV than a locker is when off-roading. With an open diff, if a tire loses traction, that CV gets all the torque and free-spins the tire. If that spinning tire then lands on terrain and comes to an abrupt stop, that's a CV-busting scenario. If it were instead locked, the tire speed would remain in control, and even with the tire spinning in the air (at the same rate as the other tire, and potential while the vehicle was moving), so when it lands it won't be stopped abruptly.