well, theres a connection called "accessory" that is designed to function as such, as it functions from the factory, and comes on only when the key is in the position its suppose to be in in the key cylinder. not having the acc come on as designed is forcing your vehicle to run differently then it was intended. You can see this as clearly as the radio not working, or the lighter not working, so on. Because of this, rs have the necessary wiring to force the car to function as if the key was in and you were sitting there starting/running the car. As for why and who would want the radio on, its personal preference. There was a time when I was younger and had a killer sound system and would marvel at the ability to start the car from across the parking lot and have the radio come on at the volume it was at when I turned it off.. listening to the sound system as I approached the vehicle was cool.
So, the radio coming on is how it is SUPPOSE to be. the best way to eliminate the loud radio playing at 4 in the morning when you remote start is to turn the radio down the night before when you park the car. But if that isnt good enough there are other ways using the remote start to trigger relays and such to obtain the goal.