On most "modern" cars (15 years +) which are designed to be used with a remote key fob for unlocking, the alarm will be activated if you use the mechanical key to unlock the doors.
I have a 2001 Mercury that I've owned since new. Until today I never tried to open the doors with the mechanical key. It has an alarm system. After reading your comment I went out and opened the door with the key. The alarm did not sound.