I found the solution!
A Thai friend did some inquiries on a Thai motor forum and they pointed him to the Driver assist menu in the vehicle. There is an item called Park lock ctrl which was not checked by default.
We tried checking it and that did the trick! I can now leave the car in neutral without a warning and I can lock the car.
Why neither the Thai nor the English Ford Focus manual didn't make any mention of this option is a mystery to me!