Not just Vanagons, all VWs (at least up until the early '90s which is the newest model I've owned) did this.  My old '72 bug had the radio "always on" as did my '91 Jetta and '91 Vanagon.

You get into the habit of turning off the radio as you leave the car.

Allan

On Sun, 31 Jan 2010 11:52 -0500, "Dennis Haynes" <d23haynes57@HOTMAIL.COM> wrote:
> Vanagons never had the radio wired to the ignition switch. There is no
> "Accessory" position so having the key switch turn off the radio means no
> radio while waiting or camping with the engine off.
>
> Dennis
>
> -----Original Message-----
> From: Vanagon Mailing List [mailto:vanagon@gerry.vanagon.com] On Behalf
> Of
> Mark A Kippert
> Sent: Sunday, January 31, 2010 10:09 AM
> To: vanagon@GERRY.VANAGON.COM
> Subject: Radio stays on
>
> For a year and a half I've never used the radio because I needed the
> code.
> It's always been turned off. Last week I was lucky enough to get the code
> to
> my radio from a previous owner of the van (not the guy I bought it from).
> After applying the code the radio works. However, when I turned the van
> off,
> and removed the key, the radio continues to play. I emailed the PO to see
> if
> he may have direct wired the radio but haven't heard back. The radio is
> VW
> but doesn't fit all the way into the dash (sticks out about a quarter
> inch).
>
> Is this likely to be a bad ignition switch? I'm wondering if that could
> also
> relate to poor headlights and heater blower issues.
>
> Mark K
> 1986 GL/2WD/4SPD