Problem with ALDI Radio – Golf 3

I bought the current Tevion Radio for 70 Euro for my Golf 3. Should nothing be special, the original radio is dead to me. My problem: When I store radio stations and pull the ignition key these are stored. When I just listen to a CD and pull the key and turn the radio on again it is “resetted”. But when I listen to CD and only make the radio off and on I am at the place of the CD where I turned off. Hope you can some What’s that all about?