HTC Desire C screen on while charging
I also see this behaviour with my Desire C model.  When I reported it as a bug to HTC they responded that it is intentional behaviour as the Desire C lacks a charging LED.  Personally I think you should still be able to have the screen turn off and it doesn't make sense to have an option in the settings menu that doesn't do anything.

If enough people request the change HTC may put in the ability to turn off the screen while charging in a future software update.