Key-in-Knob sets are common because they're cheap and easy to throw into a door, and they save the contractors the hassle of installing a deadbolt. That does not mean they're mandatory. Even where self-locking doors are needed, there are multiple ways to achieve that, many of which are more secure than the typical KIK set.
The downside of not having the outer door lock is that it means would-be burglars can come into the house before facing a locked door -- which means they can try to open it without standing out in public. If you go this route, you might want to consider installing a camera, or at least a dummy camera, to keep them from feeling quite so safe. Also consider whether unlocking this door would give them access to basement or other storage areas; you may find that you're just moving your line of defense from one door to another or several.
In some areas, an unlocked foyer may also invite attention from folks who are just looking for a place to hide from the weather or from parents.
So whether this makes sense really depends on the building and the kind of crime your neighborhood is likely to experience.
Alternative solutions to avoiding lockouts:
- A friend living nearby who can hold a spare key for you (better answer than hiding a key, usually).
- Banging on your tenants' doors until they let you in, since they're the ones who locked you out.
- Combination lock.
- Never leaving the house without a key, even if you're just going out for a minute. I don't close either my house door or my car door unless I'm holding the key in my hand. Nothing more embarassing than a locksmith having to admit he's locked himself out.