In my testing, bandits seem to respect locked doors very well; I have tried this with doors that are locked at world creation, as well as doors that the player locks, both external doors that can be locked/unlocked without keys, as well as interior security doors (such as police station doors).
For me, bandits are stopped by these doors and try to break them.

But I've seen lots of comments that bandits do not respect locked doors, so please share what is happening for you if you have this problem.