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.
I would say that this is highly dangerous. It is against US and Canadian code to not have outside ventilation for any fuel-burning appliance in your home; that's your furnace, HWH and stove/oven, assuming all are NG or propane. It is only acceptable to have a "filter-only" vent hood for your stove if it's all-electric (which BTW is the case for every single apartment I've ever rented; gas appliances may be cheaper on utility bills in the US, but a gas stove is a huge fire hazard and general liability for any landlord).
The code is in place for a very good reason; not only can inefficient burning of fossil fuels produce carbon monoxide and smoke (both of which continue to cause damage long after you've reached fresh air), but even when these fuels burn ideally, they remove oxygen from the air and replace it with CO2. CO2 in itself is not toxic in the same way CO and soot smoke are; as soon as you reach fresh air the symptoms of CO2 asphyxia begin to dissipate, while soot and CO poisoning ("smoke inhalation") can kill you hours after you reach fresh air. However, the consumption of oxygen and production of CO2 in a space with inadequate ventilation is a double-whammy for anyone in the same space; the oxygen is being consumed so there's less of it even in upper strata of the room's air, and as the CO2 builds it settles downward in a "blanket", pushing oxygen up towards the ceiling and away from you.
As the CO2 level builds, your body's natural "inhale/exhale" reflexes go haywire in a Catch-22 condition called hypercapnia; your natural breathing while in a high-CO2 atmosphere actually increases the CO2 levels in your blood, but the only thing your body can do to reduce CO2 levels is breathe. So, you start hyperventilating, which only exacerbates the problem. Should you pass out from lack of oxygen, you will not wake up if someone else doesn't get you out of the room or get some ventilation of fresh air through it.
Your landlord is running illegal housing. However, he may not know it, so be nice at first. Follow standard procedure for maintenance requests, and ask the landlord to install a proper outside vent line for this fume hood. If he refuses or drags his feet, you can call in the city's Code Compliance officials, or federal HUD (Housing and Urban Development) representative, and they will MAKE the landlord comply. Depending on the terms of your contract, the landlord may be giving you a free out by not living up to his end, meaning you may be able to break the lease at no cost if this has gone on for some time with the landlord's knowledge and inaction.
Understand that the cheapest way for your landlord to fix the problem with tenants still occupying the units may well be to cap off the gas feed and replace all the gas cooktops with the cheapest electric setups he can find. If this was the reason you moved in, and you don't get a "free out" from this debacle, you may find yourself stuck with a spiral-coil POS.
Best Answer
Your flue should always be open when the fireplace is operating. It is a fire and smoke risk to close the flue while the fire is lit.
When not burning, the flue should be closed to prevent heat loss.