The problem is almost certainly being caused by a voltage drop after you set the alarm it only has to be very small, Check all door switches bonnet switch and the switch on the boot lid, the boot lid switch breaks and is then too short to fully operater the internal lights off .
make sure as you leave the car that the interior lights do go off after about 30secs and when the alarm sounds go to the car straight away as I suspect you do anyway, and check that there are no lights showing even the instrument cluster mileage should be off.
Also read through my alarm page as the scorpion alarm (not sure What you have) has a self diagnostic information .
Bert Rowe's-A-class info. Information A160/Feb 2002 Scorpion Car Alarm System.
