Back in the days of Windows XP, when you safely removed a USB device the device was marked as removed and the USB hub port to which the device was connected was marked as disabled, which means that the device could no longer receive USB power and therefore the LED status light would turn off. However, since Windows Vista this is no longer the case, while the USB device is marked as removed the USB hub to which it is connected remains enabled.
There is a setting in the registry that allows you to revert to the behavior of the Safely Remove dialog to that of Windows XP. To edit it, open the Registry Editor by clicking on the Start button and typing 'regedit' into the Search box. In the left pane, navigate to:
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\usbhub
Right-click on the usbhub key and select 'New->Key' then name it 'HubG'. In the right pane, right-click on an empty space and select 'New->DWORD (32-bit) Value' then name it 'DisableOnSoftRemove'. Now, right-click on the new DWORD Value and change the Value Data to '1' then click OK.
Now when you safely remove your drive, it should completely power down.
