That's true.
Stopping at the diagonals is actually quite tricky. Technically, my version does it, but you need to release two arrow keys at *exactly* the same moment, which is very difficult.
You could easily make it so that once the player stops pressing any arrow keys, the ship rotates towards the nearest of the 8 main directions, but with 360 degree sprite rotation it will look quite "jittery" (with 32 directions of animation, you could probably get away with it).
eg. https://1drv.ms/u/s!Atq7cUIJ7uexsU0Q...Bpki-?e=YKMNlY
The only alternative that springs to mind, would be to add some kind of delay, to check if the player releases the two arrow keys at *almost* exactly the same time - but that would make the controls less responsive, which is the last thing you want to do in a fast-paced shooter.
Personally, I actually found that control scheme really awkward and unnatural. I grew up playing a lot of Sopwith II ( https://www.youtube.com/watch?v=B8SLHKPxw4Q ) and various Asteroids clones, so something more like a racecar movement feels a lot better to me (and more "realistic" - if you're flying a plane, you don't pull the joystick left to fly East; you pull it left to turn left).