It does seem strange doesn't it? Perhaps the phone controls its charging. That could explain it. But why would you want to switch it off anyway? OK I often turn off the screen with the lock button and I would imagine that speeds up the charging somewhat but I never actually turn my phone off. It rather needs to be ON in order to receive important calls! 
What I do find annoying is the inability to select the times my phone received emails. As some have pointed out you have to either switch off data manually at night, or the email received notification sound. This is a step backwards as it was part of the ActiveSync options on my old Windows Mobile 6.5 phone where you could define peak and off-peak times and set email not to sync at off-peak (night) times.
Another backward step is the inability to use your own ringtone/sounds for text and email notifications. You have to use the Windows Phone standard sounds. Why? 6.5 could do it. Why can't 7.5 Mango?
None of this is Vodafone's fault of course. It's Microsoft!
