Noise could be an air leak?
Or could it be overboosting do you think?
Don't see why that should make it run on though. Is the temperature ok (not too hot?) BTW if you ever find it won't turn itself off, just let the clutch up with it in gear and foot on the brake, to stall it. It can happen you know!
What happens if you leave it to idle for a fair while before you turn it off? Does it still run on then?
Dunno much about diesels I'm afraid, although I guess they're just like petrol engines but smellier
(Only joking!
)