Get it checked out it could be your door control module or a locking mechanism that is failing.
I had a similar problem. When I locked the car sometimes the LED was on all the time other times it flashed as normal. After a month or so it stayed on all the time.
Out of curiosity I thought I would see if the alarm was still working. I dropped the windows and locked the car.
The alarm still worked
BUT one of the deadlocks had gone faulty. All the doors locked but I could reach in (through the open window

) and open it.
The part was replaced under warranty. The technician did say that there had been a number of door control modules had failed and that was indicated by the door LED.