It's called retained power, like the power windows of our cars. You can shut off the car but the power windows will continue to work for about 30 seconds, or until you open the door. Very frustrating when you auto up the window, but open the door before it gets all the way up.
Some GM vehicles have it for other features as well, like the radio. Some other manufacturer's do as well. I had a Chevy Impala rental several years ago that did and a Buick something or other last year that didn't.
It a nice feature, but the logic of what car gets it and what doesn't is beyond me.