The keyboard and its lights will run from standby power if windows and/or bios are set up to wake the PC upon keyboard activity. If you want the PC to turn on when you press a key, you'll have to live with the lights. If not, disable the turn-on feature to completely power down the keyboard.
In windows, check Device Manager > Keyboards > check each keyboard listed > Power Management tab. (That's for Windows 7, 8 should be similar.)
In BIOS, Advanced menu > APM > PS2 or USB depending on the keyboard connection.
There are similar setting that allow the PC to wake on LAN activity.
Jeff