On a modern car, the ECUs (electronic control units) will be deciding when different functions will work.  For example, it knows to switch power to the window circuits until you open and close the door.  The ECU could be controlling a relay that switches the power to the windows off when you shut the door.  The fuse that you are connecting to will be before the relay in the circuit.  Therefore if you wanted to tap into this power, you would have to connect your LEDs to the output of the relay.

Alternatively and more likely, there may not be a relay, and it may be that the ECU is watching the window buttons and deciding that it will only control the windows up until you have shut the door.  This will be the same for the door locks, again the ECU will be making the decisions.

There won't be a fuse that keeps the power on for a period of time after switching the ignition off and adding additional load to the electronics on modern cars could cause all sorts of damage.


**You could use one of these**- http://www.ebay.com/itm/MP7505-Car-Ceiling-Light-Delay-Off-Timer-20-second-10W-12VDC-Electronic-Board-/140510927871