They just didn't hook up the parkingbrake switch, that's all. I didn't hook mine up either. It wasn't worth the time to me. Without the key in the steering wheel will lock when they try to turn, so they won't be able to get anywhere. Plus, they can only do that for however long you have your turbo timer set for. So if you have it set for, say, a minute, they'd have to wait till you got out of view, break into your car, attempt to drive it and not get anywhere, and within a minute of you leaving it would turn off anyway.
About the not being able to lock thing, you have to cut the wires the people mentioned, or else it won't lock. I've been meaning to get around to doing it, but what I do is just push the door lock button while I'm getting out of the car. It's become such a habit, however, that I've locked my keys in the car while the car's running ;\.
~brian