I keep the CNX2 browser closed. I just open my images directly from Photo Mechanic.
It does not matter if you have the CNX2 browser closed or not.
Assuming CNX2 is not running when you open a NEF file from within Photomechanic, CNX2 starts and it's browser is automatically pointed to the folder where this first opened file was located and "lock" all files in that folder (sometimes, most of the time) for any edits done thrue Photomechanic.
That is until you either close CNX2 again, or, that what I do, open the CNX2 browser and point it to an unused folder (I use the "desktop" by default).
Just to add, the above is on a Windows system, so it may be different on Mac.
And thinking about it, the above was true while using PM up to version 4.6.9. Since switching to version 5 (build 217) I did not have these permission issues with CNX2.