No, the device IS broken, assuming the PC tells it to standby (which is implied by a lack of activity, according to the USB spec). A device in standby must draw 2.5mA or less from VBUS. This is required by the USB spec. Leaving a whole bunch of super-bright LEDs on is pretty much guaranteed to draw more than 2.5mA, thus the device is violating the USB spec, thus the device (if it is to claim USB compliance) is "broken".
Of course, many devices are not fully USB compliant. Many, many devices do not honor all the suspend requirements. However, in this case, ignoring those requirements seems to be leading to undesired behavior.
The motherboard, however, is fine. I don't like being forced to leave my USB ports powered in soft-off, but the host is at least not doing anything "wrong" per se.
I guess the mobo could keep everything "alive" in soft-off, rather than suspend the devices (which still allows remote wake-up). I'd also consider that "broken", though I'm sure many would find it "cool".
In this case, it should be possible to simply tell your OS to turn everything off when you shut down. Implementing such a thing is left as an exercise to the user.