I ran into this myself on my new computer that I just built.
I have a Das Keyboard which I have plugged into my computer's PS/2 port. When I would shut down, the keyboard lights would remain lit. I figured out what to do to fix it, though. My motherboard is an MSI 890FXA-GD65 AMD Socket AM3 and the CMOS setup utility was made by American Megatrends. If I launch it by hitting DEL when it's doing its POST, I found that what was set under Power Management was to have it listen for wakeup events from the PS/2 keyboard and have the BIOS trigger the state change. This apparently meant that it would be still feeding power to the keyboard for the purpose of being able to trigger on a key press, and hence the keyboard lights would remain lit, even when powered off.
What I changed to fix it was to simply set it to allow the OS to trigger the state change out of sleep mode. Now, when the computer powers off, the keyboard lights do turn off. When I set my computer to go to standby, the keyboard lights do remain lit, but that's the only situation where they do, now, which is how I prefer it.
Without knowledge of what you have available to you in your BIOS setup, I cannot say that you can do the same thing. However, if you are able to boot the computer using a keyboard key press, then you likely have that ability. However, since the BIOS already has to boot the computer from the off state, I think you likely will simply be stuck with a keyboard with lit lights. The best recourse in that situation, in my opinion, would just have the BIOS not start up with Num Lock on by default, and to make sure they all are off before you shut the computer down. For added measure, you could likely get a program that turns the lights off (or even write one yourself, as it probably is just a simple write out a few bits to memory).