OBD-II is used on loads of vehicles. If the regulation didn't mandate that this was an open protocol in 10 years every $500 beater is going to be a write off as soon as you lose the keys.
People don't expect to be able to recode their front door to accept a new blank key - why should a car be different?
[edit] Which is not to say that cars should be easy to pry open of course ...
[1] in most cases, high-end specialized locks can be an exception. [2] see http://www.lockpicks.com/ for examples.
It's a blind spot in the system that shouldn't exist if the car was locked. The OBD port simply shouldn't be physically connected if the doors are locked. A relay on the CAN bus pins trigged from the central locking might be a start.