The reason that you couldn't turn the gas cock dial off without depressing it partway is so you won't turn it off by accident. Some people turn those valves to pilot when they're away from home. I do that to the water heater if the house is going to be unoccupied for a period of time.
My furnace is pilotless- there's a spark generator that lights it off as appropriate. My gas cooktop is also pilotless.