In the case of an automatic, you could just pop out the little cover over the hole next to the shift lever, jam a key or something else down in the hole to press a little button and you can then move the shift lever without a key in the ignition. This functionality is provided in the event the vehicle needs to be moved without any power to the vehicle electrical system at all.
This doesn't have anything to do with the steering wheel locking, but is certainly handy for tow dolly use.