The bloody lights everyone is obsessed with nowadays caused me numerous nights of shit sleep. Some devices designed by companies who clearly think too much of themselves decided that they would keep their LEDs on despite the computer shutting down.
If anyone else is experiencing this issue, look for ErP in your BIOS/EFI and then turn it on/enable it.
Caveat: you won't be able to charge your USB devices using your PC USB ports while the PC is shutdown if you change this setting.
Unless the fan has a separate battery back up (which would be very weird) then this should not matter if you enable ErP.
AFAIK enabling ErP will shut off power to all components when the computer is turned off. Good luck!