My keyboard does that sometimes too, althought not all the time. When I shut down, sometimes the Numlock light stays on, and I cannot turn it off. Weird. I guess it is just one of those thigns that you really cant do much about.
There should be a jumper on your motherboard for +5vsb or something like that. Mine has it too I just don't use it. I think it is supposed to let you power up with a keypress or a mouse movement or something but you have to configure it in your bios (in my mobo atleast). Yours could be different in that aspect.