I did a very stupid thing at Heathrow short stay car park on return to the car a hour later to find I had left the engine running. So anyone could have driven off with the car. The wife’s Kia Rio also keyless entry just engine stops if she leaves the car and goes out range. 
Is there any way I can enable this option using VCDS. 

Unfortunately, no.

not exactly what you need, but more than nothing,
even ignition will be on at least doors will be locked

https://www.briskoda.net/forums/topic/474980-how-to-lock-car-while-engine-is-running/