Shouldn't do that. Looks like it 'thinks' a door, bonnet, or boot-lid etc. is still open, and warns that it can't lock/arm.
I also get that if I remove the key from the ignition clumsily, when still sat in the driver's seat, and accidentally press the fob lock button.
Doesn't lock anything then though, just complains. However, if I don't press the fob unlock then, it DOES set off the siren as soon as I open the door, so has actually armed (kind of).
A successful remote button lock results in no chirp, just a very rapidly flashing red LED for about 10 seconds. Thereafter the alarm is armed, and the LED flashes once every 3 to 4 seconds or so... on my car anyway!