Hi Christian,
Sure. The "SWF end behaviour" drop down option, in the same project preferences dialog, controls it.
The value of "Stop" means the swf will stop on the last frame, not returning to the beginning.
The behaviour you mention, of returning to the beginning and stopping there, is given by the value of "Loop and stop".
There is also an option of "Loop and play" that caused the swf animation to repeatedly play through (looping) unless manually stopped.
Does that help?

Regards and best wishes,
Justin Clift