Even if its built into the alarm/immob youle proberbly find in the T+C that if you leave the car running with you not in it will void your insurance. meaning that it still voids your insurance unless you sit in the car. therefore meaning you may aswell not have the timer and just sit in the car to let it cool/drive last mile off boost.
mine would also lock the car so cant see a prob there 
doesent matter, if it says in the insurance companies T+Cs that your insurance is void if the engine is left running without a driver in the car, then the insurance is void weather or not the door is locked. any turbo timer you can turn the egnition off, get out of the car and lock it and the engine will still be running for 1 min or so untill the engine cools but still will void 99% of insurance policies.
i know what your saying, and that even if they smashed the window, got in and drove off they would proberbly only get a few hundred metres, but that few hundred metres could be them onto the back of a tow truck they have waiting and then there away no need for the engine to be running, and i know that if yours is built into the alarm/imob then theres proberbly a cut off switch that if the car tries to be driven when the timer is on it will cut the engine/sound the alarm ect.