Ah! OK.
Screenshot from ST3 and ST4 right at the start would have clarified that point and shown us the commands in question in case there's some issue you hadn't noticed (we all do it!)
So, to clarify, what you are seeing is Settings -> MIDI Settings -> Send MIDI on Stop is not working.
However, Send MIDI on Play is working OK.
I can confirm that I can repro that.
@peter in MIDISpy I can see the 'Play' MIDI command being sent but I never see the 'Stop' command being sent.