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if you mean the screen doesn't turn off then do this.
go to menu > settings > applications > development > stay awake
I can't understand why this setting is so hidden.

Whats the big deal with the screen staying on while charging?![]()
if you mean the screen doesn't turn off then do this.
go to menu > settings > applications > development > stay awake
the description for "stay awake" is "screen will never sleep while charging."
otherwise, you can't do anything about turning off your phone.
I can turn off the screen of my Droid when it's in the Multimedia Dock/charging by pressing and releasing the power button. Have you tried that?