My Tesla is the only modern car I own that the power windows continue to work when you open the door. Like adayley posted, I have found that when I use the door to assist me out of the drivers seat, I sometimes inadvertently hit the power window switch and partially roll one or more of the windows down. However, in one of the more recent SW updates, I noticed that when my car locks, it also will roll any of the windows up that happen to be down. I don't remember having to set that up, it was a default setting. When I first got the car, this behavior (auto roll-up of windows) wasn't a feature.
For what it's worth, my 65 Buick has power windows, and they are powered no matter what the ignition switch is set for. Which makes it incredibly easy to break into the car, by the way. :-(
Keith