This is one feature I wish my car had. I work at a BMW/MINI dealership and they both do it. I move cars all day and its nice to open the windows to let out some of the hot air before I have to sit in it
Just get a decent aftermarket alarm. You don't HAVE to hook up the alarm features if you don't care for them (door triggers, shock sensor, etc) but they can provide plenty of auxiliary outputs to roll your windows up/down, open/close your sunroof, remote start, etc.
plus you'll enjoy 10x the range the factory key fob would ever dream of. One of our 2way systems comes with a fancy LCD remote (which i find cumbersome) but also a regular 1-way remote. The regular remote is no bigger than the factory key fob, smaller actually. And easily gets 1000+ feet of range.