Because the phone is in bootloader mode. It will not communicate to activesync in bl mode. So you can flash the phone, radio or extended rom. this is the proper wat to flash the phone you are doing it right.
There is no way to turn it off. You would need a program that can turn the phone off. I cant remember any of them off hand but i know there are a few out there.
You can try PSshutxp
http://www.freewareppc.com/utilities/psshutxp.shtml