I've had a similar problem a few times. In my case it seemed to be because the iPAQ actually stayed on and just the screen turned off. If you hold the power button down too long when you turn it off, it just dims the screen without actually turning the device off.
The other problem I had that seems to have been related was I had installed a really old version of the HP folding keyboard driver. For some reason, it wasn't letting the iPAQ shut off properly, as well as causing it to not turn on sometimes without a soft reset. It seems that this also kept the unit running while the screen shut off. I don't really know 100% for sure if this was the cause, but after updating the driver with the most current one, I haven't had the problem again (knock on wood
)