Andy, you are correct, there is an "off" position between "on" and locked, where the key can be removed, but does not require the actual removal of the key to lock the column.
When this event occured my safety and the safety of the people around me was foremost in my mind and I felt that trying to manipulate the ignition key to the "Off" only position and possibly locking the the steering column while in heavy traffic would have been too risky.