Sometimes when I power off my PC some lights on the keyboard stay on. It's pretty random which ones, though I suspect it has something to do with what lights were on just before the shutdown (if I vigorously follow that they are all off while the PC is shutting down then they stay off). Not that this would change anything, but it is annoying. Why does this happen and how can I avoid it?

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Added: I know that I can turn off the power completely to my computer and it will go off. That's not the point. Actually, I even want my keyboard to have power, because I use it to turn on my computer (the power button on the case is difficult to reach). I just want the lights to go off. Or at least understand why this happens.

Oh, and it's a PS2 keyboard.