Re: Radio won't power off
It sounds like you haven't got the right connections. If you have a voltage meter or test light, then check you have a switched (Ignition feed) and a permanent feed to your radio.
Re: Radio won't power off
I don't know about getting the CD out, but I think you'll find that Concerts use a contact closure, and not +/-12 volts which is what most aftermarket headunit expect. I had a 1995 A4 a while back, now an 2002 A4 and both cars behaved the same.
I have to turn mine off by the radio, the key has no effect.
I'm open to anyone else providing the correct pins to allow this to work.
Re: Radio won't power off
Just run a switched live from the fusebox to the radio then it will turn off when the ignition is turned off.
Re: Radio won't power off
Actually - I misread your post, you don't have a switched live available if you have a Concert CD player, it's switched on and off using the CAN bus in the vehicle.
You can either, do as Issac suggested and pick up a switched live from the fuse box, or (expensive) buy a CAN bus adapter that will provide a switched feed.