It’s just the way it is. Plugging it in to your computer’s USB port automatically turns the player on, too, but since it’s in a data transfer mode it doesn’t start playing. Plugging into the wall charger turns it on, but it’s just *on*, no data transfer mode, so off it goes.
I’ve lost my place in more audiobooks than I care to admit by plugging into the wall charger, however, I take advantage of this same behavior all the time with my car charger: I intentionally turn on my player by plugging it into the the car charger & listen to it while it charges.
My husband always hits “Pause” when he’s done listening, so he wouldn’t have this problem (actually, I don’t think he ever really turns his Fuze off, he just relies on the auto-shutoff). When he powers it up, it never starts doing anything automatically.
