[f5fstop]

I guess I would need more information. Have installed a few off-road lights before, and never attached the switch wire to B+, but always to Ignition Hot.
Reason is if the switch is to B+ (always hot), and the relay is grounded, and the lights themselves are hooked to B+ through the relay, they would stay on forever, unless you manually turn off the switch. What I'm trying to understand is, did you connect the switch to B+, and the actual power feed from the lights to ignition power? That would explain why your switch light is always on, but the lights are going off when the ignition is turned off.
I guess my question is, what feed is supplying the actual lights through the switch side of the relay?
Another question does the wiring diagram with the lights call the circuit to the switch, "switch power power wire," or "switched power wire?" Switch implies it is just that, the power to the switch. Switched implies they wanted switched power to be used versus battery B+.

Oh, and I do believe that the radio on the H3 will retain presets with no battery power. I have not confirmed this, but most new GM radios do, and would believe the H3 had this same feature.