This can be done and pretty easily with the right module. The reason you need all keys there is you have to program the module to act as a key and in our cars the smart key system needs to know how many keys are present.
As far as the unit always being on and showing that the key is always there, if done properly this isn't an issue. On all remote starts there is an output wire that is only active during start/run time and you tie the module into this wire. Therefor the module is not powered up until you try to remote start. The module itself is housed away from the key cylinder and there is a signal wire that runs up to the cylinder. This signal wire is what makes it look like a key is in the ignition and allows the car to start.
All in all make sure that whoever does this knows what they are doing. DEI makes a "key in a box" piece but for this you lose a key. If this is the piece you decide to go with then you can purchase a programable standard key off ebay for like $15(
http://cgi.ebay.com/ebaymotors...ZWD1V ), go to the dealer with all your other keys and have them programmed, then you have a spare key to use.
If you have them do the key in a box with that cheapo key, after you have it programmed by the dealer, I would recommend filing the key down so it cannot be used.
Hope this helps someone out!