If you have it in phone mode it should go back to the menu you were in before you unplugged it. If it's in file transfer mode it reboots itself to the standby screen. That's how it is on my phones.
This is how my w900i and my friend's k800 works. But I guess yours is a bit different in that it shuts down. Other than that are there any other differences? everything saves during the transfer right? and nothing weird happens after?