It has been since late 2004 since this subject was last approached so for the sake of the newer STS owners I thought I would present a scenario that could be avoided if you stay alert.
Imagine that you have just normally started your STS and you remember that you left something in the house. So you leave your car running and run into the house with your key-fob in your pocket (or better yet, keys now in your hand, since you had to open your house door). While you are in the house you put your keyfob down on the table or drop it. In any case you return to your car, which is still running, and you get in and drive away, the key-fob still in your house. Now you get to your destination which could be a mile away or 300 miles away and you push the engine button to shut the engine off. In the scenario I just set out, the engine won't shut down on the first try and a message on the DIC warns you that there is no key-fob available. But if you are like me, and this hasn't happened to you before, or you are in a hurry, you, and I, and most people would just push the engine button again and shut down the car without ever having looked at the DIC message. We then leave the car and lock the door. Well, you guessed it, you are scr__d. You not only locked yourself out of the car (which on-star can help you with, if you still subscribe) but you can't start the car. To compound the problem is the fact that if your glove box is locked and you are in a State that requires insurance cards (which would be locked in the glove box) you can't even rent a vehicle to get back home to find your key-fob. Although I guess you could take a cab.
Point is, that if your engine won't shut down when you first try to turn it off, don't be trigger happy by pushing the button again. LOOK FOR YOUR KEY-FOB BEFORE you turn your engine off. OR....avoid this problem by never leaving the engine running in your car when you leave the car.

Hope this will be helpful to somebody in the future.

Yeah I did that the other day...little different though. I dropped the girlfriend off at Safeway to get some food and I ran accross the street to Lowes to get some paint....She had the key fob in her purse....I went to shut the car off and actually caught the message...had I not seen it I sould have been stuck there waiting for her to figure it out and run across the street to let me back in....I know in my Dad's Infinity if you drive to far away from the fob it shuts the car off....not sure how much better that is but you will atleast know you don't have the fob within 500 ft of leaving the house as opposed to all the way across town.