[Kirby64]

No car I'm aware of requires this. If the ignition is off and the doors are all closed, the car is, for all intents and purposes, asleep. If anything, doors unlocked may be lower power... as that would disable (or, rather, not enable) alarm functionality.

[dcormier]

The author of the linked article mentions a couple of times to lock the doors for the car to go to sleep properly.