I know they got a first down on the play. So anytime you catch a ball for a first down and then go out of bounds, the clock keeps running? That's not right - I've seen tons of catches for a first down where the player ends up going out of bounds and the clock stops. It would have to be like I said, only if you step backwards when you go out of bounds - where you needed credit for the forward progress to have the first down.
EDIT: You're saying that if the forward progress is stopped - not just if you get the first down? Even still, I'm not seeing it on that play - he was heading to the sideline as he caught the ball and just continued out of bounds. It's not like he caught the ball and was stopped and then went out of bounds. So, if what you are saying is correct, then if a player is running straight across the field and catches the ball and then keeps running straight across and out of bounds, the clock wouldn't stop. That doesn't make any sense - I hope that's not the rule.