On a side-note to this topic, I do have comfort access but I did forget to actually lock the doors one night after exiting.
The courtesy lights do go off as I found out the next morning because I was unable to comfort-access-open via door-handles or the keyfob unlock. No lights were on.
I thought I had a dead battery but discovered the doors were left unlocked. What I find unfortunate in this situation is that the BMW alarm does not passively arm after a set amount of time. What if I did this outside my garage? Free reign for anyone. I guess the one positive is at least none of the lights stay on and drain the battery too. Vehicle ran fine, it's just that the alarm is useless if you don't actively arm it.
I suppose this is true even if you don't have comfort access?