This is now standard on the Transit, and engages automatically above 5mph I think. It isn't available on the Connect even as an option.
There is a latch on the left of the driver's door release handle to activate central locking manually on all models except the base T200. You can operate this with your elbow deliberately, or inadvertently I suppose. This then locks the front doors, and the load compartment rear doors & the side door if one is fitted.
If you then lift the door release handle both front doors unlock, but the load compartment stays locked (single locked only - not deadlocked). You can lift the latch back up, or use the key on the rear door, or press the pliplock blue centre button to release these door locks. You can also press the plip lock on the move if you can't get to the latch.
This sounds like a fault to me.