I'd love to see that as a feature that could be fine-tuned via the in-dash menus.
1) No auto lock -- car stays unlocked when keyfob goes out of range
2) Auto lock -- car locks when keyfob goes out of range
3) Auto lock + auto window close -- car locks and windows roll up when keyfob goes out of range
4) Auto lock + auto window close + auto moonroof close -- same, plus closing moonroof
Keyfob lock or door touch lock would do the extra steps as programmed for auto lock.
I'm not sure why auto-lock isn't either a default or a menu option, it seems at least as desirable as some of the weird auto-unlock modes that only unlock some doors. Auto window close not being there is probably due to some kind of safety concern, but you'd think the auto-up feature already has some kind of anti-pinch safety mechanism.