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Try a capacitive discharge- disconnect both battery cables, and touch the cable ends together to dispel any stored electrical memory in all the modules. I have seen where these type of symptoms appear in the comfort module, and this clears them up. I wouldn't trust the module if this clears it up though, I would replace it. If the lights blink that would appear that the module is sending the signal.
Have you tried turning the key in the door two times (or more)? And you are saying holding the key in the door to unlock rolls the windows down, but holding it to lock does not roll the windows back up?
Were you programming the remotes with two keys?
You may have a couple issues- if you had a scan tool you could watch to see if the signal from the door latch is showing up in the comfort module.
It sounds like either the latch may not be sending the signal to the module to unlock the other doors (which could be a broken wire in the driver door harness between the door and body) or it could be that the module itself is faulty. I have seen them lock up like this, where they refuse to unlock any other door but the driver.
the door lock you can just replace- the comfort module you would need to program the remotes to it.
OK- the system may come back and send you reminders to rate me, please know that it is an automated system and not me pesonally harassing you- you take the time you need and get back to me on your own schedule.