My insurance also says all windows to be locked and the keys removed when in bed except for occupied bedrooms. The front door key goes upstairs with me, I won't forget to pick it up if there is a fire. The other door keys are concealed fairly close to the doors along my exit route. Window keys are concealed fairly close to windows. There are several ways that I can get out if there is a fire.
It is all about slowing the burglar down, the first thing a burglar usually wants to do after getting inside is unlock other doors to provide themselves with as many opportunities as possible to escape quickly. Thumb turn cylinders make that a doddle for them.