LM431 Reference Pin Current High?
If I understand you correctly, in your test you essentially apply a voltage to the reference input, but leave the cathode open? 

That's outside the Operating Conditions (p. 2, bottom), which require a minimum of Vref. So as far as the manufacturer is concerned, anything can happen.



What I think happens is that the reference input is now powering the chip via a (parasitic?) diode from reference to cathode.

The ~500uA you found matches the IZ(min) (minimum cathode current for regulation) or IZ(OFF) (off state current) in the table on page 3: 0.4 .. 1.0 mA.