This isn't unique to Nokia. All phones I've used will do this. There was one alarm in my HTC Desire that kept going off once a week for a month before I finally realized where the noise was coming from (it was in my closet, so the first few times it happened I thought it was a neighbor's alarm).
Not like a Nokia device. It will power the phone on from complete off (not sleep or standby) and sound your alarm. Freaked me out when I turned off and boxed up my old N95 and then a week later it turns itself back on and sounds an old alarm I forgot to delete.