Yeah, I have that same problem with my radar detector. At first, when I was using the cigarette lighter, it was not turning off when I turned my car off. When I was hard-wiring it to my sunroof motor, I expected it to turn on/off when my car was on/off, but the damn radar still stays on !!
Oh well, I don't mind turning it on and off, I guess I've gotten used to it...