Was the player booting up when you first started it? I think the hardware might ignore the "power down" sequence until the player has fully booted up. I seem to remember seeing this before.

The times I have seen my player fail to power down, it was because my power connector was dodgy, and it thought it was supposed to be in AC mode. It eventually corrected itself but for a week or so, I was having to pull my empeg out of the dash to power it down.