If the guest is with me and ask me to follow him in to locker room, than I'll follow...
But I've never been to a club where it's a rule not to change your shoes in the parking lot...
I think the rule is more about clubs not wanting to have 6-8 guys hang out in the parking lot and make noise that could disturb play. Not really about the ungracious act of changing your shoes.
Once again,
I'm a huge fan of dress code on and off the course, the clubhouse jacket and tie is perfect for me.
I think it is capital to behave properly and be relatively quiet on and around a golf course.
But changing your shoes in the lot, I don't see the point. I like to take time when I arrived at a club, and putting the golf shoes on, taking the bag out of the car, checking if everything is OK in the bag (all in loneliness and slowly) is a ritual that allows me to get off work and get in a golf mood.
Of all the places I've been to, nobody ever asked me to get in the locker room and go there to change my shoes.