fedders air heater pilot light stays on?

hello,

the air heater in the basement has a label inside that states the pilot light will turn on automaticaly when there will be a call for heat! but after the main burner and the fan shut off,the pilot stays on! now,i know some of them work like this,but not in my case! if i tap it once it shuts off! and most important,sometimes it shuts off by itself!!!as it should be.what concerns me the most is that if i shut of the main gas valve at the furnace and then turn it back on,the gas start running trough the pilot WITHOUT IGNITING!!!! imagine if the gas company shuts off the gas for maintenance...and then turns it on and i"m away!
could someone,please,tell me the cause for this? and what should i do? thank you! Corneliu.