Western Digital My Book essential 2 - 500Gb - blue... I have just bought the new My Book It has a

Question

I have just bought the new My Book It has a blue light in a **** on the front It says on their site it shuts down with the computer However the light still stays on Is this normal, as want to power it down Unable to use Safely Remove Hardware as it shuts down but restarts as I shut down the computer!