Unless the pc is turned off at the mains, the power supply unit (psu) stays on line so that you have power available for when you press the 'on' button. A common side effect is that some things stay live.
The only way to avoid those lights being on is to turn off the computer at the mains.
This will be something to do with your bios settings for resuming power and booting the PC . It will enable you to press any key or click the mouse to awake or power up the PC . Have a look in the bios for power settings , resumption from a power off state ( S3 ) etc. try playing with each option until you get the result you want .
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