Fairly sure with the locking of the Car and closing windows, it only gives you the option of doing it once, if interrupted at any point wont work again.
In my experience it doesn't matter when you hold the lock button.
Numerous times I've deadlocked the car and then walked around to the passenger side to find rear window been left open, pressing and holding the lock button should still activate full closure...
Also I've held the button whilst walking away from the vehicle and then had to go back towards it because the windows stopped going up, guess I'd gone out of range?
I know what you mean Rich, I had a FL MV6 Estate that did everything that you described above, then I had another Estate that didn't, only gave you one crack of the whip for closing windows etc, otherwise I had to unlock and start again.
Did ask the question many moons ago, and was told Estates lock up system is slightly different set up, due to how or what position the rear key has been left locked on the Tailgate when closing using the fob. ie whether the tailgate opens or not when using the fob and alarm not going off when only using the rear key.
Never did get my head around it from memory, as I couldn't seem to duplicate the difference between the two despite both being the same year.