OK, i checked it on my car yesterday evening.
Reminder : 2003 roadster, no alarm, no mod (at least on the electrical part

).
Roof down, windows up, car is locked with the key button (and me inside). Key is removed from the ignition thingy and held at a reasonable distance to avoid any RF detection of the key transponder (if any).
In this configuration, car locked by the key button, my central storage compartment between the seats is locked. The lock button inside the car is not functionning, it does NOTHING. The trunk button is also completely deactivated. I even tried to open the doors with the handle : IT DOES NOT WORK. So, when you lock the car with the key button, it locks the car completely.
The only thing which is not locked electrically is the glove box, since it has a separate, mechanical lock. You have to lock it manually by inserting the key in the lock.
Again, this is the case on MY car, a 2003 roadster with no mod (none that i'm aware of, at least).