With mine in the ACC position the radio stays on, and windows still work. Not sure why yours goes off coz it shouldn't. That's the whole idea of having the ACC position. ( it says ACC in my manual, not AUX )
2.8 07 Auto

Emm, yes, no...But, didn't no about Aux position. Didn't get book with car. Don't think I've ever used the Aux position on any of the many cars I've had....Strange that...

My bad it is ACC not AUX. The ACC allows selected AUX [iliaries] such as clock setting DVD / CD ejection and radio etc. Also the airbags are not on and will not inflate in the ACC position.