There is a logical reason why the play is not whistled down when a penalty is called. Presume the innocent team has a break away or some other visible scoring opportunity. There would be a incentive for the opposing team to take an immediate penalty to stop this possibility if the play was to stop immediately upon the occurrence of the infraction.
For that reason, the rule requires the offending team to have puck possession before the play is stopped. Because of this rule, the innocent team often pulls its goalie for an extra attacker to take advantage of this circumstance. The thinking is, that it is safe to do so, as the offending team cannot possibly score due to the immediate ending of active play.
This does not, however, mean that there is no risk, Occasionally the innocent team has scored in its own empty net by an errant pass, deflection or some other unanticipated event. The point of all this is that the innocent team, when choosing to pull the goalie, takes advantage of the need for the offending team to require possession, and hence assumes some contextual advantage of the rule and also some potential liability.
But the real issue is this – when the innocent team scores, whether or not it chooses to remove the goalie, the penalty call is rescinded. Why on earth should that result follow ? There was still a penalty call, The goal has not reversed that. It is not the same as scoring in the course of a penalty being severed, This is simply bizarre.