Yukon dash lights stays on and radio stays on vechile won't start have new battery

GM Security lockout reset procedure
https://www.youtube.com/watch?v=5feL05TyLtI

https://www.2carpros.com/questions/2003-gmc-yukon-xl-5-3-vortec-anti-theft-deterent-light-on-dash-board-stays-solid-2

owners manual
https://my.buick.com/content/dam/gmownercenter/gmna/dynamic/manuals/2003/gmc/yukon_xl/2003_gmc_yukon_denali_xl_owners.pdf
what is the purpose
https://www.quora.com/What-is-the-purpose-of-the-flashing-red-LED-light-on-the-dashboard-of-cars

Yes that's normal. it should go off as soon as you open the door though. if it doesn't then they will go off when timer expires (normally about 90 seconds) after you leave the car.

kindly pls check the BCM which is located under the left side of the dashboared i hope that will help.

I do believe this has to be reset by the dealer

Hi there !

I won't say its an alternator problem because the alternator only charges the battery when its on, And it should start with the jump cables even if the battery and the alternator are bad. your Issue is not clear. Does the car start when you jump it ?

Hi, there is a park relay in middle of the interior relay box under the dash to the left of the steering column. This is shown on page 6-61 of your owner's manual (http://www.extendedgmwarranty.com/owners-manual/gmc/2001-GMC-Yukon-Denali.pdf)
With the battery connected, pull out the relay and push it back in. If it clicks when you do this, the headlight switch is bad. If it doesn't click, the relay is bad. Try swapping the relay with another similar relay, such as the horn or A/C relay. If that solves the problem you need a relay. If not, you need a switch. Please let me know if you have any questions, and thanks for using FixYa.

Take the battery out of it and go to a auto store to get it checked, they do that free, but you might need to get it charged or get a new battery. If it clicks then it's definitely the battery, otherwise it could be something completely different.

Things to consider
-oil change?
-last tuned up?
-battery age?
-Alternator?
-check fuses?
-are you aggressive while driving it, that can cause internal engine problems over the years.

hope it helps.

You might get a result by disconnecting the battery for 10 mins, make sure you have the radio code! the shop should fix this as it is part of the repair they have been paid for.

check your dome light override switch on the dash. make sure it is not locked into the "always on" mode. check you owners manual if you need help locating it.

yes! its possible bad connection or the neutral safety switch is bad.hope this helps !!