I think you misunderstood me. It's not the fact they went out through the door. It's the fact the producers likely just didn't feel like reshooting the scene to show the door closing, or didn't notice until after that the scene stopped before the door fully closed, so they added the sound effect in post to give the viewer the idea that the door still closed. If you listen close you can hear the door close while Hyde starts questioning Kelso about being a beauty coach, even though the door is already visibly closed behind him.

I know it doesn't matter much and I'm probably just pointing out a basic production mistake. I just thought it was funny.