I have the exact same problem on my HP pavilion. So I guess HP has to provide a fix.
When I turn of my laptop, every thing seems to turn off, but indeed the fan keeps spinning and the lights still stay on. Also my cpu/gpu is making a noise, and is being hot because the air from the fan isn't cool (like when you aren't using the cpu much while turned on). The HDD indeed is turned off and disconnected. So something keeps the cpu on I guess?
Also, my laptop does this when it sometimes just goes to sleep mode too. So I don't think it's a bad thing while I is turning off. But when it goes to sleep and it does this, I cannot turn it off anymore so I could loose unsaved data.
Turning the computer forced off isn't bad in this case because the HDD is disconnected anyways. But why is this happening?