Roku devices never really turn off. That power button on the remote is strictly for the TV. There is a "power saving" option under Settings->System->Power that honestly doesn't save all that much power and seems to be more trouble than it's worth. The light on the front is supposed to turn off when the screensaver activates or it enters "power saving" mode, but I'd say the light is pretty unreliable. There's been plenty of complaints similar to yours since that "power saving" option was added not too long ago. As long as it's not turning on the TV or presenting some other issue, you'd be better off forgetting about it than waiting for Roku to get it figured out.
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