How to reset the alarm?

As the car starts and drives it must be the RAID theft alarm going off. If locking and unlocking the doors doesn't reset it then it is likely the UCH module has a fault. That requires dealer access to test and find any faults as you need factory tool access and the security code from the module to read any faults.

Here is a guide that may help others that require this same reset info.

https://www.2carpros.com/articles/how-to-reset-a-security-system

Thanks

It's possible but there isn't a lot of information on the RAID module outside of dealers, likely because it may make it easier to bypass or remove. Even the factory service information only lists it as an optional item covered in the online diagnostic system. For faults is says to connect it, enter the security information and proceed with diagnostics. If you look through the other posts on here you might find extra information from other users and experts that could help. Just be aware that things that worked on the earlier vehicles may not apply as the model you have was built from 2002-2009 as the MK II and there were many changes.