It's been my impression that locking the car with the fob is what triggers remembering those settings for that key. Unlocking is what recalls those settings associated with that one key. So, when you lock the car, your're telling the car, "hey, the way things are set now, remember these settings and link to this key". Unlocking means, "recall the settings last saved by this key and recall them (including adjusting seat, mirrors, radio, temp, etc.)".
The simple act of getting in the car without unlocking means the system has no way to safely engage the new settings (seat movements in particular).