I finally found a solution!!!
This app "Smartphoneware Bestkeylocker" can autolock the keypad when you close the slide without prompting you every time you close the slider. You can set it to never lock the keypad, so you won't get that annoying message every time you close the slider.
This is app works perfectly with the e65.
Features and settings:
Custom lock timeout.
Custom sound notification on lock/unlock actions.
Custom hot-key for lock/unlock operations.
Rule to lock or don't lock if charger connected.
Rule to lock only in idle screen.
Rule to lock in different profiles.
Rule to lock in different applications.
Don't lock phone during a phone call.
Autolock on slider - autmatic keypad locking and unlocking for slider based phones.
Hint: When you use the option "Don't lock in applications" and add certain application, e.g. Messaging, Best Keylocker will not lock the keypad in that application, but when ScreenSaver appears, the keypad will be locked autamaticaly. To prevent this situation you could also add ScreenSaver to "don't lock application" list.
Note: If you add ScreenSaver to "Don't lock in applications" list, make sure your lock timeout is less than screensaver timeout, otherwise it won't lock either after screensaver is activated from idle screen or any other application, which is not in "Don't lock in applications" list