No I haven't tried that. I know from my older vehicles you don't have to remove the key. Well next time I`m stuck in traffic going down hill Ill remove the key and try again I wouldn't wanna dry turn it without moving though.

 

Wondered about this also. Asked dealer and they showed me that they, at least the manual trans. cars, only lock at approximately the three o'clock position.

 

Chevy Trailblazers since 2002 do NOT have steering locks, and there are other cars that don't also. It was never a goverment regulation, but a security/antitheft thing that caused the automakers to start with the locks in about 1970.
The HHR takes a good bit of motion in the wheel to engage the lock, like more than a 1/4 turn, so its easy to think it doesn't have one. Oh yeah, if you turn it that far to engage it, you may have trouble when you next try and start the car, because of the pressure on the lock preventing the key from turning. Been there, wife done that. :)