Here is a thread where they turn off the power saving in order to have the LED's go out when the machine is turned off. Quoted below as well.
In the BIOS under ADVANCED>APM there is a ErP/EuP setting.
ErP Support determines whether to let the system consume less than 1W of power in S5 (shutdown) state. When the setting is enabled, the following four functions will become unavailable: PME Event Wake Up, Power On By Mouse, Power On By Keyboard, and Wake On LAN.
redduc900 @overclockers.com
This is the answer. When I enabled ErP S5 and powered off ALL LEDs were off. Motherboard, GPU, External HHD were all OFF!
So I re-enabled ROG Effects on the motherboard then powered off again. ALL LEDs were still OFF!
So this ErP enabled S5 will allow you to keep your fancy ROG lights on when the computer is on as well as turn OFF everything so you
http://rog.asus.com/forum/showthread.php?52422-HOW-TO-Turning-off-All-motherboar-lights-when-shut-do...