That setting only applies when you reach the end of a clip when previewing. Checking the box means you want the playhead to immediately return to the beginning of the clip (when in Clip mode) or timeline (when in Movie mode) once the end of the clip is reached.

If the box is unchecked, the playhead will stop at the end of the clip and remain there.

The only setting that affects what happens when you click Stop is Switch to movie mode automatically during playback.

If that box is checked, PD will always switch to movie mode so the playhead won't stop at clip boundaries and will always snap to the start of the timeline when you click Stop.

When that setting is unchecked and you start in Clip mode, clicking Stop will return the playhead to the start of that clip.

The way to keep the playhead where it is when you want to stop previewing is to use the Pause button (or tap spacebar).

Ah ok, the feature is different than what I was thinking in my head. Thank you for clarifying !

The stop button has always placed the cursor back to the beginning. Place the cursor where you want by clicking the mouse.