Hi nightmare080584,

This does sound a bit odd!  The only thing I can think of is that it might be something to do with how the car provides power to the stereo.  Usually you have a switched 12v supply that turns the unit on and off with the car's ignition (red wire to the stereo and sometimes called an 'accessory' position), and a permanent 12v supply (yellow wire to the stereo) that backs up presets on the radio, clock settings etc etc.  However, some cars don't have an accessory supply, or even sometimes the permanent and switched 12v supplies are the opposite way round on others.

Consequently, there are a number of correct but alternative ways you can wire up your stereo depending on the vehicle you're installing it to.  I've included a diagram that shows the choices below.  It might be worth trying the different ways (you can't do any harm but only one will probably make the stereo behave as you would expect).  I wonder whether the option connecting both the red and yellow wire of the stereo to a permament supply from the car might be best for you - the only downside is that you have to remember to use the power button on the stereo itself when you leave the car.

Don't know if this helps?