Yeah it's normal. Turning off the PSU will result the RGB led to be off but reset to default if you do that. Options are disabled or enabled in the UEFI BIOS. And when enabled, always working: S0 (working), S3 (sleep) and S5 (soft off)
EDIT: I looking in the manual and it said this on page 3-26
LEDs will always light up at the S0(Working), S3(Sleep), and S5(Soft off) states, but not at the S5 state when the ErP Ready is enabled. So yeah, S5 is soft off so enable ErP Ready and try that.