I don't think this is necessarily a problem. I used to own a CJ PF-2L and I believe the light would stay on (although there was no power switch). I think that this was a very common thing in their solid state line and they really focused on true on/off for their tube based equipment. I currently have a CJ PV-12 and CJ Evolution 2000 amp and there the lights are off when the units are powered down (but these are tube based).
I have some pictures here if interested.
I have some pictures here if interested.