Why won't the key come out of the ignition if the P for Park is not illuminated on the dash of an automatic 2005 Ford Escape?

Try relieving the tension on the steering wheel when it locked.

The steering wheel isn't locked. It is like the car doesn't know it is in park. The "R" lights up when it is in reverse as does all the "N" in neutral and so on, but not when it is in "P" park,

The linkage from shifter to transmission needs to be adjusted!

Check all your fuses I blew a fuse while adjusting my trailer wiring and got back in to find I could shift into park! Took AAA 15 minutes to figure out I blew a fuse. If you depress the brake peddle if the tail ligths don't lite you've blown a fuse their located near the drives side door under the dash. Hope this helps!