Is it normal for the CD changer to remain powered even after the key is out of the ignition, the RNS if off and the car is locked? I mean won't this drain the battery. Seems weird to me. Maybe the wiring's not right?
When you remove the igniton key or turn the RNS-E off it only goes into some kind of standby mode. After 30 minutes or so (sooner if you lock the car) it will power down completely itself and all devices connected to it (amp, phone interface, CD changer, tv tuner). That's normal and shouldn't kill your battery.
I think the CD changer actually stays "slightly" powered up all the time...just enough to realize when you press the eject button so it will pop out your CDs without having to put the key in the switch. At least I think this is right.