Assuming the new sonata works just like the other hyundai models....
If the lights don't flash the alarm is not activated because the system
senses that something is not closed. There are sensors for each door
as well as the hood and trunk. If the lights in the cabin go out when
all the doors are closed it is probably not one of those sensors.
I would locate the sensor under the hood and trunk and make sure it is
pressed in while hitting the lock button on the keyfob. If you get the
blinking lights/chirp you found the culprit.
Ultimately it is probably just an adjustment and shoud be taken care of
with no problem at the dealer.