I was using an Edge 530 before, I upgraded to the 1040 and saw a different behaviour.
I'm using a Varia RTL510 and Bontrager ion 200 rt.
They are both configured to open the lights when an activity starts, this works well, but when I'm ending or stopping my activity, they both remain open and only shut off when I shutdown my 1040.
On my Edge 530, when I finished an activity, my lights closed without having to close the Edge.
It's not a big issue, but mostly an annoyance as I often need to manually close all lights because I don't want to walk with my lights opened, while my ride sync and congrats everyone around for the good time we had!