The player shut down just like it does every other time. That's why I found this behaviour strange.

It's actually fairly common. Well, not common, exactly, but it happens to everybody every once in a while. For whatever reason (phase of the moon, low tire pressure, maybe you need an oil change?) sometimes the player just doesn't have time to save its state before all the electrons fade away. I would guess it happens on my player maybe once every 200 times I turn it off, doesn't matter if it is just pulling the power on my desk, turning off the ignition, or pulling it from the sled.

It is not anything to be concerned about.

tanstaafl.