Thats what the "ok" button is for. Every WM phone has one. If you look on other WM phones the button that shuts the screen off has the power symbol on it, just like the 800w's red end key. So technically its correct in what it's doing.
Also, if you took the time to do a search you would have found
this thread with a registry edit to get the end key to shut the screen off without minimizing any apps, then when you turn the screen on again you're right where you left off.