I think the lights are meant to stay on for a time after the doors have shut. Reason i say this is that my mk3 cavs lights stay lit for a good few minutes after parking and the windows continue to operate for as long as they are lit. I think there is a capacitor there somewhere to allow this to happen, so i wouldnt worry about it, perhaps leave a window open and lean in after about an hour (without opening the door) to see if they have gone out.