Living in Italy, if you left your keys in your car and it was stolen, that was on you.
As long as you have comprehensive coverage, you can file a claim if your car is stolen while left running. Comprehensive can still pay to replace your vehicle if it's stolen while your keys are inside it or if you left it running.
I think the finance companies want it that way, they have a lot of clout (lobbyists) and they don't want to get stuck for the insured's negligence. The coverage protects the lien holder.