Fireplace will not turn off

look at page 22 of the manual: http://www.heatilator.com/downloads/installManuals/4031-551.pdf

using a multimeter, check the voltage being sent to the valve while the fireplace is on, which should be the green and orange wires. the re-check it after you turn it off and the pilot is still on. if the on and off voltages are different, then your gas valve is faulty. if the voltages are the same, then your controller is faulty.

if the it's valve, do not replace it yourself. in nearly every jurisdiction, it is illegal for non-licensed people to do work on gas fixtures.

note that it might also be that you just never noticed that the pilot remains on for a brief time as it burns the residual gas in the line.

From the sound of it some kind of safety has kicked in. There's probably a thermocouple that's connected to a cut off valve of some sort. If the gas is on, but the thermocouple is too cold, it cuts off the gas (this is intended to prevent something blowing out the flame from filling your home with gas!).

Look around and see if you can spot the thermocouple and make sure it's not bent out of the way or something silly like that. Beyond that, I'd call for service on the thing.