This is the wiring diagram for the DCM power, and connection to the indicator lights. You can see that there are actually 3 different power connections to the DCM: F/B Fuse No. 4 (ACC), F/B Fuse No 5. (IG), and the one you pulled M/B Fuse 9 (always on). So, even with that fuse pulled, the DCM is still getting power, but only when the car is running. It's not clear how that available power is being used, since there is no schematic available for the internals of the DCM. For example, does the DCM try to charge its backup battery from the IG or ACC power, or only from the main source connected to M/B fuse 9, which is now disconnected?
It is also be possible that the unit is currently draining its lithium ion battery trying to keep operating without the Fuse no 9 power connection.
<EDIT> I pulled out the DCM which I removed from my car, and tested each of the 3 power supply connections on the bench, with a 12V lab supply. Both of the IGN and ACC inputs appear to be status only: they don't power up any of the internal circuits, including the backup battery charging circuit. Both of them draw minimal current (< 10ma), and just tell the DCM processor whether the car is running or not. I tested the indicator red and green LED outputs with power only being applied to the IGN source, and didn't see them active. But then, I don't have any antennas connected on the bench, so who knows?
Anyway, I think that the reason you are seeing the LEDs active is that the DCM lithium ion backup battery is being drained to keep the DCM powered up. No inherent harm in that, but it does stress the lithium ion battery. If this is true, they should go out after a while, when the backup battery is drained.
Regardless, removing M/B 9 will definitely stop the DCM from draining the main battery when the car is off, and lets you keep using it!
If you are going to disable the DCM, I recommended getting the bypass connector, and having someone install it if you don't feel comfortable removing the head unit to access the connectors. I'm sure any competent stereo installer could remove the DCM and install the bypass module. Then, I would remove the back up battery from the DCM, so it doesn't drain the battery desperately trying to phone home, in "I can't talk to anybody!" panic mode.