Has the security light worked before? If not, you door panel may have been off at one point (previous owner perhaps) and the connector for the security light wasn't plugged in.
You have encountered a quirk with the keyless entry system. If you lock the car using the inside door lock, your car is physically locked but the keyless entry system thinks it isn't. It doesn't know that you locked the car. When you unlock the car, you'll hear the system work but the door pins (grabs) will not pop up. The system is actually arming itself now. On a second attempt, it will unlock. You must lock the car with the keyless. Then you'll be able to unlock your car on the first try.
I was in the habit of locking my car with the interior door lock and when I got my keyless entry installed, I noticed it required two tries to unlock it. After observing this behavior, I discovered this quirk in the system. I believe Lud posted it to the FAQ.
