In this episode, management has an alarm system installed, indicated by a black box to the left of the lobby entrance. This black box stays on the wall for the next two episodes which wrap up the third season. When Season 4 begins, the box has been removed.
After setting the alarm, it is supposed to sound if the lobby door is open. When Jennifer and Mr. Carlson set the alarm the second time (right after Herb leaves the office), the door is already slightly open and the alarm does not sound. Shortly following, Mr. Carlson can be seen surreptitiously closing the door.
When Johnny enters the studio at night he tells Venus the door was unlocked and the alarm off, so there is no reason the alarm should have sounded later except that the writers needed something to indicate there was another unknown person in the offices.