Ok read the manual. It doesn't have anything in it about the key fob controlling the radio presets. But when I got both sets of keys out and tried them out the presets on the radio do change depending on which key is used go figure
. As far as the other personalization items like climate control, seat and mirror positions go the manual says that is only on the SLE and SSEi models with DIC. My car is an SE and it doesn't have the Drivers Information Sytem (DIC), so the seats, mirriors, and climate control can't be personalized by key fob on my car.
So that solves the radio preset mystery, but the car locking itself with the keys in it and the engine running is still a mystery for now.