I have an optical Mouse connected via PS2 which stays lit even when the computer is off. Only seems to go off if I switch off the power plug for the PC at the mains. I don't really consider it a huge problem though.
If the mouse stays lit even with the computer off, then this isn't a Windows issue, but probably a motherboard hardware or BIOS setup function. When the computer is turnsed off, there is still a 5V standby supply active, this is intentional so that the computer can be turned on by external devices. In this case the mouse is kept active so that it can be used to wake the computer up.