This was brought up during the beta, and was passed off as a mix of a design feature, and as a feature request that was not important enough comparatively, to be focused on pre-release.
The developers were all likely working on multiple screen workstations, and probably found the lack of cursor locking helpful for their debugging. As such, they apparently didn't really find it a problem that needed to be addressed.
I've gotten around this problem in two ways:
First off definitely run DG in windowed mode as that stops the accidental alt-tab behavior that can occur when you click outside of the fullscreen window.
Second, I've moved away from my standard DotA style scroll the map using the edge of the screen behavior to instead using the tactical zoom with the scroll wheel in DG. (It zooms in on wherever you have your cursor, so to change where you're looking, zoom out, place your cursor where you want to zoom into and then zoom back in.) This is a little cumbersome when trying to move the screen long distances, but for the most part it works well.
The only work-around I know is if you use a program called Windows Mouse Capture. This program will let you selectively lock/unlock your cursor to any window using a hotkey. You should be able to find it without much trouble through google, probably on a DotA utilities page.
