Before you give up hope entirely I have wondered about this same problem myself for a while.
Loads of aftermarket alarm systems have extra feeds for total closure etc. An alarm system could be installed so that it activates alongside the factory alarm system (potentially without siren) and while locking/arming the windows can be rolled up as part of total closure (requires button holding down as standard) plus sunroof close and mirror fold-in. Final step is to light up the headlamps/fogs and rear lamps for 15 seconds or so.
I'm certain this is entirely possible using a clifford alarm of some sort and professional installation. Cost would probably be around the £500 mark.