Your stove works fine but when you turn it off either the combustion/exhaust fan (fan that blows air out of the chimney) or the convection fan (fan that blows air into the room) doesn’t turn off. You have to unplug the stove for it to stop and when you plug the stove back in it starts right back up.
On most pellet stoves there is a heat sensitive switch called a “Low Limit” Switch that is usually mounted to the Exhaust Fan housing. It’s about an inch across and has two wires .