If I sleep the player before turning the ignition off - all ok, the trouble is, I often forget...Do you think this might be related to your other post about blowing display fuses?
Just kidding. The unit is supposed to be a car stereo replacement, and car stereos will tolerate that behavior, so the Empeg should, too.
Personally, my VW doesn't even have an ignition wire running to the radio- it's an always-on thing. And I never have thumps. You might want to try wiring it that way as an experiment to see if it works for you.
Having had cars with both always-on and ignition-only radios, I can honestly say I prefer the always-on method.