Has anyone seen a CAN message that corresponds to locking the car? It would be nice to have that trigger a soft chirp so I can hear the car has locked after leaving it without turning to stare at it like an idiot. I don't have automatic locking and I've found about 1 in 10 times, pressing lock on the keyfob is not responded to even when standing right next to the car with no other electronics in the fob pocket. Changing fob batteries doesn't help (fobs were replaced as well due to high battery drain). I actually can't find anyone else complaining about that problem so maybe I should bug Tesla about it. It's been an issue since I got the car 2 years ago.
I'm sure there is a way to query if the car is locked. I don't know how to, though. I share your problem though! I have been turning on 'fold mirrors' when parked so when the mirrors fold I know the car locks. I have auto-lock on walk away which seems to be the safest thing. Even if I forget to lock it it will lock itself. The only reason it might not lock is if you forget your key in the car or if any of the doors are not closed all the way.