I did actually get mine to remember I want it off, but I can't remember 'exactly' how! Basically you set it up with the lighting switched off, & save it as a scene, as if you were using the SS in standalone mode; I use mine hosted, but plug it in, & the lights come on briefly, then switch off permanently.
Only problem for me is that I want the 'INIT' setting, to send out raw CCs, & you can't save that as a 'scene', so I then still have to wait for the KMI software to boot up just so's I can select an 'INIT' setting, then shut down SS again & boot up my bidule setup. Lights still stay off though.
I'm sure I got the instructions on these forums somwhere how to do this, but 'fraid I can't find them right now.
It might not work with all OS's though; I'm on MacOS10.6.8, SS v2.1 & VK1. (I'm wondering about tinkering with VJ1 again to see if I can get back to a default raw CCs mode, but I'm fearing even if it works it'll screw something else up!)