I'm still having the problem as well. For a while I thought it might have something to do with my connecting the ATV to my receiver which then goes to the TV. So today I tried connecting the ATV directly to my TV. Exact same problem.
When I turn the system off with my Harmony Remote or switch to a different device (such as Roku), the ATV light goes dark for a few seconds, then comes back on. Someone had suggested it might be the Harmony Remote that was causing the problem, but the ATV comes on several seconds after the Harmony Remote finishes sending commands. And just to test that further, I've tried covering the Harmony Remote immediately after the ATV light goes dark so that even if it is still sending something, the ATV won't receive it. Same problem.
So unless the Harmony Remote is sending some unknown command such as Turn Off, Wait Five Seconds Then Com Back On, I don't see how it can be anything the Harmony Remote is doing. I wouldn't mind so much except on several occasions the ATV "watched" a few shows on its own accord after I turned it off.