So much for non-psychic guards. Really?
I haven't had an issue with this in Skyrim, other than when I socked up Aventius in Windhelm, a guard came in and tried to arrest me.
I assume that it was because he happened to be right outside the house. Sounds carry through walls a short distance, even if the other side of the wall is in a different cell. That much is similar to Oblivion. Unlike Oblivion, in my experience, it carries a much shorter distance.
I do like the whole regional bounty thing. That was something I always modded into the game for Oblivion. There is also a "witness" system so you can clear your bounty by killing all witnesses. I just wish it was a little more detailed. Instead of instantly getting a bounty from a villager seeing your crime, it should just say "You have been witnessed committing a crime" where it normally shows your bounty and only when or if one or more witnesses makes it to a guard to tell them of the crime should you actually receive the bounty and get the guards coming after you.