i just completed the nations triathlon in DC (olympic). it was my first tri. The bike AND run courses were closed roads, which was nice. they did have specific time cutoffs where the bike course reopened and if you weren't off you got a DNF, and a specific time where the run course would reopen and all runners must be on the sidewalk.
As i was leaving, however, i saw a group of TNTers being cheered in at about mile 5 of the run, walking in the road. i believe they were the last on the course, so therefore the time cutoffs were very generous.
when you choose a tri you should be able to read about the course to see if it's closed roads or not.