I think the rationale for the shutdown sequence is to make right sure that the Knoppix CD comes out of the computer. Have you ever rebooted with a bootable CD in the drive and wondered "What the hell is going on?" when your OS didn't load? Keeps beginners from panicking -- "Oh, no, this Linux thing has taken over my computer!" I'm imagining forgetting the CD in a university lab computer -- that's where I use it -- and seeing the "No Knoppix CDs" signs go up a day later.

As you note, there's a workaround. But let me ask what may sound like a silly question: Why would you ever want to shutdown/restart the CD? What would that achieve that, well, not shutting down at all wouldn't achieve?