I think its true that locking the animals in the car is probably not the best idea but does make it easier if your traveling by yourself and need to go in to get a motel room etc.... I would never leave them in the car for any long length of time because if the car stalled they could die from the heat. It just seems that there are a few occasions when it makes things easier, but it probably isn't the best idea in the world.
As far as locking the car when its running I was told that if you lock all the doors from inside the car then get out and use the key from the fob to lock the driver door that it is possible to lock the car that way, however I haven't tried yet. We shall see. I also read that people with remote starts were having problems as there was a system in place that only let the car run for fifteen minutes. Not sure about that either as I've never had a remote start.