They're still uncomfortable doing so because they're used to me letting them out, but every so often I let them do their own thing and they eventually find their way out.
Soon it will become habit and they won't depend on me so much anymore.
How does a dog door prevent rodents and other riffraff from coming in?
I don't think rodents and bugs are typically a problem though. People, maybe, but if someone wants to break into your house it's not hard to do so and the lack of a dog door isn't going to stop them.
That being said, I grew up in an area completely surrounded by trees and every animal imaginable (squirrels, rabbits, coyotes, raccoons, opossums, deer, etc). We had a dog door (a simple plastic flap) to our barn. I saw raccoons and squirrels with nests literally 10ft from the dog door. Nothing ever came inside. The barn even had food (dog food, plus a fridge and cupboards with snacks). It was even heated during the winter. Nothing came in. I don't know the reasoning, but that little piece of plastic kept everything out.
Somewhat related, many of my neighbors have had issues with rats. I have seen them on the edges of my yard but never seen or heard one inside. I haven't done anything to prevent them except for having two indoor cats. These are fully domesticated chubby cats that probably couldn't catch a wild rat to save their life, but I suspect their presence deters rodents for the most part.
> ... couldn't catch a wild rat
I'm seeing a possibly different reality