Sounds like you have noisy power supply capacitors that are discharging slowly when you turn the amp off.
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You may get a differing opinion from some of our technical guys, but I don't think you need to worry about the sound you hear when powering down. If you find the discharge annoying, you could replace the capacitors, but that may or may not solve the problem. Good quality power supply caps (such as computer grade electrolytics) aren't cheap, so be prepared to spend some money. If you are savvy with electronics, you can replace the power supply caps yourself, but be sure to give the caps about 30 minutes to discharge before you try to disconnect/remove the caps.
One suggestion for future reference: when turning your system off, I suggest you turn the amplifier off before the preamp. Turning the preamp off first could allow a power spike to pass through the still-charged amp, which in turn would send an amplfied signal to the speakers.
The rule of thumb in powering up / powering down audio systems is:
1. When turning the system on, turn the preamp on first and allow it to stablize for about 5 seconds. Then turn on the power amp.
2. When turning the system off, reverse the procedure: turn the amp off first, allow it to stabilize, and then turn off the preamp.