You made a good point about potentially locking your keys in the car. So, I decided to see what would happen if I placed my key on the driver's seat, locked the doors manually, then closed the door.
Result: the turn signals flashed twice, heard a beep, then the doors unlocked. I left the window down, just in case it remained locked. Once I got home, I tried it with the window up and got the same result.
Full disclosure, I currently drive a 2010 Lexus, but I'm going to purchase an X3 early next year. Not sure how a BMW with keyless would do under the same "test".