My Prius does that. I think the Jeep’s headlights will go off after an interval when the engine is turned off, but I’m not sure. But not the interior lights.
It was instilled in me early on that all electricals are turned off before shutting off the engine. My first car didn’t have an accessory position on the switch, so the radio was wired such that it could be turned on without the key. Dad’s Skyhawk didn’t have an avionics master switch, so I’d go ‘Off, off, off, off, off, [mixture idle cut-off], mags, master’ when I shut down. (The plane I’ve been flying does have a master avionics switch, and it always seems I’m forgetting something when I shut down even though I’m not.) So I don’t know if the Jeep shuts its headlights off. I should try it sometime.