I just discovered how much I love the realism of this game where it counts.
Took off with the Cessna after starting engine and having open doors from the previous leg. As noticed before, I heard a strange sound, some additional engine noise and rush, just like in a car when you did not completely close the door.
And indeed, the door wasn't fully closed! I pushed the lever down, and then closed the door. But this way, it does not close, and this is even visible. No wonder there was additional noise. So, close door first. them lock it.