I have the same trouble with my Ford Escape Hybrid remote, but I thought it was just me since my previous vehicle didn't have an alarm or anything "automatic" except the transmission.
I believe the dealer can reprogram that lock/unlock behavior for you, although if that's the case they should have mentioned that instead of the "crazy women in big city" anecdote.
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My biggest pet peeve about my hybrid?
That the top tier stereo in the Ford Escape Hybrid ('05/'06 anyway) -- the one that MSRPs for almost $3k due to bundling the GPS and energy management/hybrid display -- doesn't support MP3s, and doesn't have a native iPod-in connection.
One or the other, at least! I got the FDRW/PC-POD connection for ~$120 and have my iPod Nano integrated, more or less, now, but *gah* that should be standard in a 'top tier' radio.