My Clifford has remote start but I don't use it, even on cold. In saying that, if I did want to use it;
The car stays locked until it's unlocked by the alarm fob. If some scrote came along and tried the door, he'd either walk off or be forced to break the window. This sets the alarm off as it's still active. The scumbag will now leg it. If he decides to stick a slim jim down to pop the lock, he'll get in and be able to drive a couple yards down the street and the blackjax will beep for the code to be put in. Mr. Scummy wont know the code so the blackjax switches on, the car pops the locks open, kills the engine and the alarm goes mental.