When the convertor is locked, stalled, or near stall, you have more coupling to the engine. When those conditions exist, the larger the difference in speeds between the engine and drivetrain, the more engine braking action you will encounter. So in order of increasing brake action it comes out like this (least)OD,D,3rd,2nd,1st(most).
The only time you loose engine coupling completely is if the engine stalls. Since the forward pump is driven off the engine, all the clutches/bands dissengage.
So, yes, contrary to most peoples belief, you can use an automatic for engine braking. It is just not as efficient a brake as a direct coupled clutch system.