Keep in mind that Roku devices don't turn off if that's what you're concerned about. The light should go off when the screensaver activates or the device goes into "power saving" mode (if available; I don't know if "Express" models have it). If you're just turning off the TV (the power button on the remote is strictly for the TV) while in the middle of streaming, it may still be streaming and that's why the light isn't turning off.
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