Rokus don't really turn off, though they can go into low power mode after 20 minutes without use (though you just turned that off on yours.)
TVs don't really turn off either, (although they at least have a semi-off state which is controlled by a button - something Roku doesn't.) This means that sometimes the Roku can't tell if the TV is "on-ish" or "off-ish" - sometimes the HDMI port on the TV still acts "on". Sometimes switching the TV to a different input, or unplugging it, will make the Roku light go off - if it matters enough to you to do that. If there is any device like an AVR or splitter in between, that could affect it too.
People have reported a variety of behaviors with the LED, and I think I may have seen mine change after an update. As such I don't pay much attention to it anymore.
Banned but back. Because why not?