Mick, the power light indicates the 'modem' is connected to the phone line, not the motherboard. ( to the tune of 'the leg bone is connected to the hip bone').
But you're quite correct, the link light shouldn't be flashing when the PC is off, or on standby. If it is working OK, it will not do any harm. But if it is annoying, have a word with BT, I'm sure they will send another Voyager.