In a way the radiation does keep working.
Radiation damages the DNA in the cancer cells. It does this immediately during the treatment and does not keep doing this. However the cells with the damaged DNA will try to grow and divide at some point in time and the damaged DNA will cause them to die. Some cells grow and divide at a higher rate than others so it depends on the type of cells involved. Once the cell dies it must be removed from the body by natural processes in order for the tumor to shrink. This is a variable too. Some tumors, like prostate tumors, shrink very slowly, like over months.
So if you use tumor shrinkage as a measure of the radiation working, yes, it does happen after the treatment is done.