My 2016 CX-5 proximity has this feature. It's not a horn honk, though. Outside the car, there's a high-pitched *beep* that signals when the doors are locked/unlocked.
My old 2006 M5 SMG also had a proximity key, but it never made a sound. It would simply shift itself into neutral and it wouldn't go back into gear until the key returned.
For the CX-5, in the event I leave the engine running, but I step out of the car with the proximity key in my pocket, the Mazda will chime inside and outside *beep-beep* *beep-beep* *beep-beep* to let me know that the engine is running, and technically, the car is disabled from gear.
I guess it's a trade-off. I like to leave the engine running a lot when I step out of my vehicles, often to load something or connect my trailer. A loud honk is annoying, but it is also peace of mind because the transmission should be locked out, preventing someone from jumping in and stealing your truck. My Frontier has a classic key, so when I step out and I don't feel like killing the engine, I tend to close all the doors for security. Of course, closing all the doors with the key inside is a risk of accidentally locking myself out, so I will always open one window, enough that I could reach the lock in an emergency.