As mentioned by SaltiDawg, most (if not all) DVD players will close their tray after receiving a power off signal. If you want to delay the power off signal, then add a long delay after the open tray/eject command in the activity exit macro.

As mentioned by Akirby, also check the DVD activity "Play on Enter" and "Stop on Exit" options in the Activity Options. These options are under:
o Activity > Settings > Change Options - for the Client Software Interface
o Activity > Customize > Change Options - for the Website Interface