I haven't seen a CF network card that allowed you to turn it off via software. The Socket, along with other cards, does have the ability to go to sleep and thus use very little power when you're not actively accessing the network.
I haven't seen a Prism-based CF card with a complete power-off function. The D-Link, for example, is a Prism-based product and you'll only see the usual options for enabling or disabling power saving mode.
The new Linksys WCF12 (it replaces the WCF11 reviewed on our site) does allow you to turn the radio on and off. I'll be adding this card to our WiFi review later this week.
BTW, there are some older Ethernet and modem CF cards out there that drain more power than most current WiFi cards . Card manufacturers are showing improvments in power saving technology and awareness as the industry matures. WiFi cards, being newer products, actually have an advantage!
I'm not sure we'll ever see a Pocket PC that lets you cut all power to populated expansion slots rather than going to sleep mode. Even laptops generally sleep the cards rather than cutting all power.