Ouch. I just tested and can confirm your results. That's certainly not what I'd expect based on what's written in the manual. A caveat: I'm alone at the moment and so I tested it by leaving a phone configured as a key in the car, using another phone (out of phone-as-key range) to lock the car remotely, and then opening the door. This could conceivably result in different behavior than would locking the car's doors via the screen. Also, a car that's self-locked by driving might behave differently -- has anybody tested in this way? This would be relevant for safety when stopped at a traffic light or whatnot.
I've reported the issue to Tesla at
Tesla SSO – Login and asked that they fix it ASAP. If you're concerned by this, I suggest you do the same.