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They pretty much all work like this. More than anything, it's a safety feature, preventing children from mucking about with the windows if you've left them in the car alone (which of course you're not supposed to do, but that doesn't mean it never happens.)
If it's your first car with electric windows and you haven't had it long, then it takes a while to get used to. But after a while, most people do get into the habit of making sure the windows are closed before turning off the ignition. You'll forget every once in a while, but it's not a serious problem unless it's happening all of the time.
If it really bothers you, then you could consider fitting an alarm with 'total closure.' When you lock the doors, it closes the windows and sunroof automatically. It's quite a nifty feature, and some of the Laguna II's have it as standard.
Currently in Horatio's garage:
2010 Laguna III Initiale.