The car will certainly not shut off and shouldn't. I've frequently ran inside to the ATM or the house while just locking the door via outside door handle (I hate having to restart the car for a 1-minute task). As for leaving it while others are inside the car, I've just had them lock it themselves as I never leave the key. My parents' new Honda will not only put up a message on screen that the key has left, it will also make an exterior audible sound for the person to come back with the key. It has saved us a few times, actually.

__________________
'08 X5 3.0si - Alpine White / Saddle Brown interior
Specs: Sport Pkg, Premium Pkg, Tech Pkg, Comfort Access, Aero Kit, Style 433 staggered 20s on Conti DWS
Mods: Carbon 35 tint, LED angel eyes, GP Thunder 7500k fogs, H&R 20mm/25mm spacers, clear reflectors, gunsmoke-tinted taillights
Coded: Digital speedo, windows/sunroof/tailgate close via keyfob

X5 pics at Flickr