I see now. But I'm afraid, I cannot confirm anything like that? Could you please tell me what's your other settings? Maybe it's a combination of parameters that causes your problem?
Indeed, there is something annoying in M mode and probably somehow related to AE lock? I would expect, that if I set the exposure (either manually or by AE lock), the LCD preview the scene as it will be captured, right? Wrong!
I found that it's true only if you half press the shutter (aka pre-shot AE lock). If you don't do this, and you target the camera from original place to let's say very dark or very bright place, the LCD brightness (scene preview) gradually changes. As if the camera trying to compensate the amount of available light by moving the exposure compensation to plus (if scene is too dark) or to minus (if scene is too bright). But after pressing the shutter, the captured picture shows exposure as it was previously set.
In other words, LCD displays different preview not matching the preset exposure. It's hard to explain, but it's easy to reproduce.
Try this:
1) Turn the camera to M mode (if you have preview set to HOLD, it to 1-3 secs preview to avoid the need to press the Play button or release the shutter).
2) Point the camera to a dark corner of room.
3) Set the exposure using the AE lock button.
4) Now half press the shutter to "lock" the exposure and target the camera a bright source of light, let's say monitor with a static page (for example this one). >> the LCD should display a very overexposed scene..that's OK.
5) Now full press the shutter button to take the photo, but do not release it! Try return to half press and check the displayed preview. The taken shot is exactly overexposed as you saw just before pressing the shutter..that's OK.
6) Now release the shutter. The LCD slightly, but very noticeable changes it's brightness as if corrected exposure? The preview should be visibly less overexposed. But the exposure values are still the same because you set them manually! Shouldn't be the preview exactly the same as with half pressed shutter?
7) If you wish, you can now take another picture with previously defined exposure values. This new shots is exactly overexposed as the previous shot with "locked" exposure.
Maybe I understand the M mode wrong, but I would expect that the preview should match the exposure and taken picture, or not?