The windows on my 1982 300SD do not operate unless the key is on.
The windows in my 1986 300SDL DO operate, along with the seats, when the door is open, even if the key is nowhere in sight of the car. I assumed it was a feature as well. If it isn't, it's certainly a COMMON failure point. And a desirable one as far as I'm concerned; nothing's caught fire yet and it's done it since I bought the car five or six years ago.
The windows in my 1982 240D are manually cranked.