This is the emergency exit feature and is standard on the F51 Keyed Entry. This feature cannot be disabled. The emergency exit or panic free exit feature is required by some building codes for fire safety. Those same building codes will not allow double-cylinder deadbolts in some applications because they negate the emergency exit benefit of the knob/lever.
If you are not limited in choice by the building codes, you can choose a different function of lock. Schlage offers a keyed entry lock called the F54. The F54 is also a Grade 2 (as is the F51) with Grade 1 features. The inside thumb turn has to be rotated to the unlocked position before the knob will turn to open the door. If the store does not have the specific design/finish that you want in stock, it can be special ordered, or it is also available online.
If you would like to upgrade, you can also move to the A-series and order an A53 which allows both the Emergency Exit Feature as well as the Unlock when the Door Opens feature. This lock is a Grade 1 and is also available as a special order or online.
If you do have to stay with the F51, some options for you include place a key in a safe place outside the home or jiggling the outside lock to see that it is unlocked before shutting the door. You can check the position of the locking mechanism on the inside of the lock. (Horizontal is locked. Vertical is unlocked / aligned with the screws).