I think I've seen this type of post and answered it..I'd suggest searching these forums first, and then asking if no answer is found first. but anyway, let's shoot...
it is safe to unplug the stick even if the light is lit, as long as you remember to umount it first. this is the same procedure as in windows - at least in the one I used, you had to choose somekind of "eject device" before unplugging, and that's umount in linux. the light stays lit, though, but that's ok.
I'm not sure why windows makes the light go off, and linux doesn't, but it might have something to do with supplying electircity through usb or something...I really don't know. imo the light just means the stick is connected to your computer and is getting current, so it works...non-lit light would mean it doesn't work. I don't know a way to "manually shut it down", but on the other hand...I don't need to
so you can safely unplug it, just umount it first to make sure you won't lose any data. if the light disturbs your perfect day, paint it dark
hehe..joking. but really, it's ok if it is lit.