I know exactly what you're talking about. My Boss BR1600 (standalone multitrack machine) has a Scrubbing Tool that operates like that, invaluable for finding edit points etc.
The old DAW I used to use (Cakewalk Homestudio 2004) has scrubbing functionality - it was mouse operated, move the cursor over the sound clip at the speed you want. Never bothered looking into control surfaces (the idea of being able to use a wheel on the control surface instead of the mouse). But I do think the audio stopped if you stopped moving through the clip. I'd imagine this is the software rather than the physical thing (the mouse, wheel, whatever) that you're using to operate it.
I was about to ask "why do you want it to keep playing when you stop moving?", but then I realised I use it all the time. If you're looking for "silence" (eg between the intake of breath and the start of a vocal), having the thing still "playing" when you've settled on what you think is the right place is VERY useful :lol: