TiVo needs to stay "on" all the time so it can record all the things you told it to record when you're not home or the TV is off. Then you don't miss any shows
In fact, some people argue that keeping the hard drive spinning all the time is better for it anyways than the constant spinning up/slowing down that turning it on and off would(if you could turn it off - besides pulling the plug).
If you want to shut off the nightlight, go into the TiVo options and there are something like 4 different brightness settings, including 'Off'.