You're supposed to downshift towards Neutral until you're slowed enough or the engine seizes up. It's not great, but you do get some stopping power like that and the engine isn't contributing as much. Whereas cutting the engine gives up the stopping power that comes from moving the pistons against the pressure in the cylinders.
Plus, I don't think that Electronic Stability Control functions without a running engine. Which means that you're in more danger turning the engine off than leaving it on, provided you haven't already downshifted into Neutral. Anyways, once you do downshift into neutral, the engine isn't connected to the wheels and as such, you also give up the use of both the power brakes and the power steering without gaining anything.