That's an awesome way to get the car stolen, though as you can't lock the doors with the keys inside, and even if you could the key would be inside. I always hated that part, too. Like engine on I can't lock it from outside the car. I have the key, what would the problem be? You can do it on cars with remote start like my 2012 Ford Focus (unfortunately they screwed up every other aspect of the Ford, like no cruise control).
It actually doesn't happen when my wife is with me and has her key, but I was hoping there's maybe a software hack to disable it? I guess I could shut the car off every time i get out, but that's really annoying. Bad Toyota. They usually don't do dumb stuff like this.