That's surprising.
I had both my E86s coded to Beep on locking, the first by someone on here with Carly and the 2nd by another forum member using a laptop (no idea what software) but it's really handy as I often miss the indicator flash but always hear the Beep!
I don't know if a car without an alarm could be coded that way, but if the indicators flash when you lock it then a beep may be possible.