Where are you 'moving' the part of the clip that you cut out to? If you are just dragging it to a lower track, then it will still play when you are in movie playback mode. If you're in clip playback mode, playback should stop at the end of the clip, and not go into the grey area.
As Jaime requested, a screenshot would help.
PowerDirector 10 Ultra
Dell XPS Studio - i7 3.4 GHz / 8 GB RAM / Windows 7 Professional 64-bit