Precisely. My company gave me a Canada restriction while I go through the greencard process so that I don't void the application.
Winning the lottery doesn't actually do anything as far as your current visa is concerned, and also does not obligate you to apply for a greencard. It simply gives you the opportunity. Once you take that opportunity and apply for the change of status is where you are no longer eligible for E3 nor can leave the US without government permission (travel permit I spoke of earlier)