Ah HA! I tried booting off the same system disk from the same drive, but attached to my Mac Plus. It did the same thing -- no ejection of the disk, and auto-restart.
If I boot the Mac Plus off the HD20 with System 6.0.8, when I shut it down it ejects any disk in the external drive and gives me the "It is now safe to turn off your Macintosh" prompt.
So it must just be an early system/finder thing with external drives...
