you can have the car programmed to have your lights flash when locking and unlocking. i have that feature and i don't have the alarm system in it.
i believe the dealer can do that for you. i'm not sure if that's part of the keyless programming, but i could be wrong.
i know you can roll the windows down by holding the unlock button. i don't think it will roll up the windows. i do know that if you were to get the alarm system, you can get that feature that will allow you to roll up the windows.