The Dealership isn't screwing with you...well maybe not. In 2004 Ford went exclusively to the Inst Cluster running all the stuff you are having issues with.

I wasn't aware of the 99-04 vehicles being that way, but it could happen.

If your model is one of them, the Inst Cluster is the culprit. Ford designed a 10 minute battery saver circuit into thier programming. All of the stuff you are having issues with are items that are part of this circuit. The radio, windows, lights and CC are powered from it during normal driving and for 10 minutes after turning off the vehicle (or until a door is opened).

No idea why the locks aren't playing. they are on their own circuit