So the power button is, when you're driving, a "kill engine" switch. The car stays in its current driving gear.
I think this MAKES SENSE. Let's say the car's a few years old, and stalls when you're driving on the highway. You don't want it shifting into park (or any other gear), blowing up the transmission. You just want/need to be able to guide it to the side of the road. Without power, engine braking (coupled with the hand brake) is the best you have. Don't know if power steering might be able to continue with a stalled engine, but doubt it... depends to some extent on whether it's all-electric or belt-driven.
You won't be able to attempt to re-start the engine in drive (assuming an auto transmission, which is for 90+% of the owners here.) And you're not going to tow/push the car in drive, either. This is a particular emergency situation, and I think Mazda handled it right.