Have the same or similar board (Gigabyte GA-Z77X-UD4H) and am testing various things with it. from my understanding so far the orange power button you are referring to stays lit as long as power is being sent to the board. so even with the system off if the pwr supply is not switched off then it will still stay lit. I believe that is working as intended.
In my experience power can remain in the system for a bit even after unplugging it. It is a way to use that excess power up and let you visually know when it is all gone and safe to work on. so switching the supply switch to off you will notice makes that light go out in a few moments.
As for the M_BIOS led that is also orange. I was noticing that also. I had not at first but I'm starting to think I was just missing it before since I can't find a reason for it to be a problem. Since the board has dual bios and there is an led just past it for the B_BIOS I am thinking they say on to let you visually know that you are using one or the other.
Also my system seems to stay with A0 on the digital display while the system is powered on and occasionally switches over to 0E/E0/30/03 ... not sure but that is what I'm trying to figure out. I have only found a value for E0 and A0 in the book... but if A0 is the one I think it is then 03 is the orientation of the other and that I have not found.. so .. I dunno.. but thats what I'm dealing with.
Now that I've rambled .. the orange lights for the other two seem to be normal and I have not experienced any problems with the system or any of the components and I'm getting a 7.9 windows exp reading from everything so we'll see
I'll let you know if I end up finding any conflicting info from what I already spilled out here