Is it normal?
No, but it can be...
ATX formfactor uses a "soft power" feature, basically that means there is always power running to the board (off or on) and power up is controlled by software routines not the switch (the switch triggers the start of the startup routine). This means you can have various levels of "off", or have other devices (other than the switch) intiate the startup routines.
So, in other words this it what allows things like wake on LAN, wake on Modem, etc to work. It is possible that if Wake on modem is enabled the computer doesn't really turn "off" but goes into a deep sleep, waiting for the modem to ring and then power back up. A two color LED should change color when in the sleeping/waiting for the modem state, but a single color LED could possibly still indicate power on.
So check through the BIOS options and see if Wake on Modem is enabled, and if disabling that allows the LED to indicate "off", if not thenthere may be a problem with the modem.