That's the stupidest thing I've heard. I'd be ticked off also. Usually, you can't even lock the darn doors if the keys are in the car.
On another note, the other day I had to run into Staples to pick up some supplies and left a passenger friend of mine in the car. I left the car running as it was cold out as she also had her baby with her. Problem is I had the car keys in my pocket. When I got back she was complaining that the bell just kept ringing every 5 seconds or so. Drove her crazy.
Well, you know . . . she could've just turned the engine off !!