By leaving the engine on, it's sucking more Oxygen into the space. Your engine room is an ecapsulated space, anyway. It's connected to the bilge (on almost all boats), it's not sealed, and it's naturally ventilated.

You're just dumping a bunch of halon, or CO2, or whatever into the space in an attempt to quell the fire. If the heat is still there in a very hot cable, or smoldering belt, or whatever, then it will just reignite when the oxygen level rises to the level where it support combustion.