That is because you used the wrong wire as your amp turn on signal. You used the blue antenna wire (which only sends power out when the AM/FM radio is the selected source) instead of the blue system remote wire (which sends out power all the time the unit is powered on). This basically causes the amplifier only to turn on when the AM/FM radio is the selected source.
To fix that without pulling the unit out to switch the wires, go into the AV settings menu, and turn the ANT CTRL setting from RADIO to POWER.