I am not particularly knowledge with the mk2b stereo, so I am not sure if I can help much.
NC means not connected, so there shouldn't be any cables there.
You have 2 CAN line cables going to the stock radio, don't connect those to the aftermarket radio you bought. (CAN A CAN B) They should be disconnect!
There's 3 more cables, one "Ub" I assume is constant power. The other one is a ground cable (ground symbol) and a third cable (ANT) that is used to signal an external powered antenna or amplifier to turn on, also present in the mk2a stock radios.
From what I understand, the mk2b radio receives constant power, between "Ub" and "Ground". The stock radio got the information of the ignition being on or off, and whether the lights or on or off from the CAN Bus. The aftermarket radio can't use that.
You don't have separate ignition power, and a constant power there, I think you only have constant power.
It's what I understand from that diagram. You are saying you lose power when you switch off the ignition, and I don't see why that would happen according to that diagram. The diagram shows you have constant power, and no indication, or power coming from the ignition switch.
Can you tell us what cables are connected where in your aftermarket radio?