The one I had fitted on my old car used an immobiliser by-pass which only worked on remote-start. It also had 2 modes, 1 for an auto and 1 for a manual. In auto mode the car would shut down and immobiliser re-activate if either the foot brake was pressed (which you would need to do to get it out of park) or the handbrake was released without the key being in the ignition. In manual mode the system would automatically shut down as soon as the doors were unlocked.

Even if it didn't have these features if someone did get in your car and drive off they wouldn't realize that the steering lock would lock coz theres no keys in the ignition to release it.