This is a new development. Anybody know what could cause this?
BTW It’s a 1999 Benz ML320 (the SUV).
Before you all hate me for my choice in vehicles and tell me it serves me right for driving a gas-guzzler, let it be know that we chose the car when we were living in Boston. I was pregnant and my husband was paranoid about being able to get to the hospital in a snow storm as ToddlerNym was due in January.
The Benz stereos I’m familiar with had a rather unintuitive setup which had a lot of nearly hidden “features”. One of them was an unobtrusive-looking power button which could be set to either go on and off with the ignition, or, if the button were held down for a few seconds, would stay on independent of the ignition.
That was back in the late '80s, though. I hope they’ve become a little easier to operate since then.
Toddlernym!? I had the little one pegged as a Syn Onym for sure.
Hey Sue, did you get the manual for the car? You might read it, it should be in the glove compartment. If not you might want to buy one from the dealer for that spiffy car that you can take me for a ride in someday 
OMG! That is PERFECT!!!
Do you mind if I start using it? I’ll even put in my sig that you named my child! Please?
I read the manual, it has a blurb about pressing the power button when the car is off if you want to listen to the radio. But I’m not pressing the power button…it just doesn’t go off.
There were no other directions…
handy, the thing goes off lease in December and I’ll be glad to be rid of it, it’s a POS!
Does the radio go off when you open the door? That’s what happens with my Cadillac. That’s what it’s supposed to do, at least, I hope so.
I used to have a VW Fox, and I had to manually turn off the radio. Maybe it’s a German thing.
Your car isn’t named Christine is it? 
I haven’t dealt with any really recent Benzes (Dad’s S is a 1996 model), but I’ve never seen the radio behavior you describe in any of the 10 or 12 I’ve driven over the years. I have noticed it in older Porsches, like my '75 914S and a friend’s '70 912. The latest Porsches I’ve been in were both 1994 models (C2 Cab and C2 Speedster) and the key killed the radio in both (ditto for a 1984 944S and a 1983 911SC). Neither of my BMWs had a factory radio so I can’t speak for them. Try SK’s suggestion. I’ve never noticed anything in the owner’s manuals about this but I never really looked for it, either. Most of my forays into M-B owner’s manuals have dealt with figuring out the wierd behavior of the 1988+ SL automatic top, pneumatic suspension, and traction control, none of which are in my 1976 SL, thank God.
Doesn’t happen to go off when you open your car door, does it?
My best friend just got a brand new vehicle, and the radio stays on until the vehicle door is opened.
Nope. It doesn’t go off unless I hit the power on the radio itself.
Tried Sofa King’s suggestion of holding down the power button and it didn’t work.
This is driving me insane.
Yesterday I noticed that the Nav system no longer worked, my phone didn’t automatically come on with the car, and the vanity light didn’t work. This led me to believe it might be a fuse.
Today, I went in search of the fuse box and on the second try found a blown fuse. Presto, changeo! Everything is now working wonderfully!
Thanks for the ideas Dopers!