Mine stay on after i have locked the car (for about a minute)
Doesn't bother me and not worth mentioning it to the dealer as they won't have a clue and i'll just get wound up.
Once when it was hammering it down with rain i drove to the train station instead of walking. I locked the car and started walking out of the car park when a man came running up to me to tell me my lights were still on. He got soaking wet as he didn't get his brolly out of the car as he wanted to catch up with me. I think he felt a bit stupid!!