The radio doesn't turn off until I remove the key from the ignition.
on 2008 Volvo S40

Is this normal,even when the key is in the off position?

Asked by for the 2008 Volvo S40
Yup, it is normal. If you don't turn it off manually, it won't shut off till the key is out or on some models, till you open your door to exit the car.