Yes, i had the original Kandy, and i used to do the same thing.
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I, m not quite familiar with The Roksan Kandy, as I own The Roksan Caspian cd player. But on mine its the same way.
You only turn it off from the back; but on the other hand its actually recommended that you leave it on 24/7, as most solid state and digital gear manufacturers recomend. Just make sure you don,t leave the player on PAUSE mode for a long time because that will keep the transport and laser working. Really good gear not so well known in the US by the way.