I have an alarm, keyless entry and remote start in mine. I love it. When it is hot or cold out you can start it before you leave and the car will be either cool or warm inside depending on how you left the a/c heater controls.
As far as mine goes, once you have started it remotely and you get in the car you put the key in, turn it to on (not start) and depress the brake pedal. Once this is done you can then drive off without having to shut it down and re-starting it. I think they are all that way. If you get in and forget to turn the key on and you hit the brake pedal it will immediately shut off. That way if somebody were to try and steal it without a key when it had been started remotely they would have difficulty driving off since you have to depress the brake to shift into gear.
There are probably ways around it. I figure if somebody wants it bad enough they are going to get it one way or the other.
I put mine in myself only because I was replacing an existing system so I already had all the wires pretty much marked as to where I needed to make my connections. I never would have done it myself if that wasn't the case.