At least in the 3DS version of the third Metal Gear, the locking down does happen. Of course, if you kill everyone in the vicinity there's only so much they could do from keeping you from fleeing considering you're among the bush instead of the urban jungle. Stealth is also a necessity for rescue missions and on harder difficulties you only get a dart gun with limited ammo, meaning you have to hide or you'll die. Drops are down, enemies are up in health and AI awareness. And there's more traps. There's simply too much danger otherwise to blitz.