My experience has been exactly the opposite.
I just traded off a 2005 Explorer, my work vehicles consist of a 2008 Expedition and 2003 Chevy 1500, past personal vehicles include 93' and 98' Explorers, 2004 F-150, etc. and all of them have allowed my to shut off the interior light. The list of past vehicles can include Toyota, Honda, and Dodge; so this isn't just a Ford thing.
I have searched the owner's manual (before making any post on the forum) and it addresses the interior/dash light control. It states that rotating it all the way up turns on the interior dome lights but doesn't address shutting it off.
The long and short of it is: I guess this vehicle will not allow me to open the doors without an interior light coming on. (short of removing the bulbs)
Why would a person want to do this you may ask? For one thing, it is a security issue; you may want to exit your vehicle without being "spotlighted/illuminated" most police vehicles operate this way. During the summer months, a person may want to leave a door open without an interior light filling the cab with bugs. At 6:15 in the morning, I want to be able to put my 5 month old child in the vehicle without having lights on so she doesn't wake up for the drive to daycare. I'm sure this list could be a MILE long, but these are just a few examples.
Thanks for your assistance.