Use the on/off button to switch off. It stays lit to indicate that the unit has power and is ready to get started again. Many devices indicate such kind of stand by. If you want to pull the plug you can do so. If you do so while the unit is up and running, it will interpret this as a power fail and immediately restart as soon as it gets power again.
I can't imagine that pulling the plug is the way to go, but it bugs me to leave that power on all the time.
I just put a wattmeter between the Stage in stand-by and the socket and the 'power draw' doesn't even register 
There are technical reason for the decision to use a "soft power" approach. If you prefer to have your Stage off in the sense of not drawing power whatsoever, you need to pull the plug. Note that the preferred way to do this is to pull the plug after you've soft powered the unit off.
Btw, I personally sympathise with the idea of a device no drawing power at all.
