Hi
It is a good thing sometimes it helps stop carjacking & bag grabbing ,my merc done this as a standard thing,but not when keys were left in it, i couldn't even use the other key to lock door when key was left in the ignition.
if nobody else answers this- have a look in you owners manual to see if the central locking works automatically when moving off,
never leave your keys in the ignition when you leave it unattended even for two seconds, this will invalidate your insurance if someone drives off in it.