The key WILL NOT come out unless the lock is locked. It's designed to be that way. It's a physical impossibility to remove as long as the lock isn't locked or the cylinder isn't totally wore out. If you have other keys on a ring with it on there -well, that's another issue. the keychain can come apart and lose the other keys -or the lock cylinder will wear out and maybe fall right out or fail to move at all.
I see a lot of cars with this same issue as some people hang 4lbs of keys from their car ignition. It's no wonder they have issues down the road. It's money for the car mechanics! Whatever, it's their equipment to abuse.
If I had a bike with one of these types of locks I'd probably just remove it from the bike as they are a PITA and not very useful IMHO -especially in a city like Chicago. If you don't have a sturdy U-lock through the frame and the tires to a sturdy object you might as well just gift-wrap it for the thieves.
If I decided to keep it I'd be forced to actually USE it every time (or someone could lock it and take your key and you'd be stuck) so I'd put some sort of clip on it so I could clip it to my keyring whenever it was out of the lock so I wouldn't lose it. I actually do this with my motorcycle keys. I hate other keys on a motorcycle ignition for the reasons I outlined above. When I take it out I clip it to my other motorcycle keys (U-lock key, disk-lock key, Fagetaboutit Chain key, and key for the locking pannier trunks.) I lock my motorcycle up with 3 locks/chains inside my own locked garage. This is Chicago...