I have the same problem on my Express 4K. If I shut the TV off the blue light goes off for a few seconds then comes back on and won't go off until the amount of time elapses for the screensaver to turn on.
However on my Roku Stick 4K and Roku Ultra devices the blue light goes off when I shut the TV off and it stays off. The Express and Express 4K aren't very good models, I couldn't even get 4K resolution to work on my 4K TV with it yet all my other Roku players will on the same TV.