All you’re missing is that these are zigbee bulbs, intended to be installed in a power always on setup.
Zigbee is a mesh network intended to keep costs way down in both dollars and energy draw, and to be “resilient” (more on that later).
It keeps costs down by using mostly stupid end devices. Seriously stupid. Basically they know on/off and a few parameters like dim level or color. They fo NOT know their previous state, save state, send special messages to the hub, or any of the kinds of things you may be used to from wifi devices. They’re really limited. Which is why they can be sold for $15.
This has nothing to do with SmartThings, it would be true whether you were using Wink or Homeseer or the Phillips Hue Bridge. Pir whether the bulb brand is GE, Phillips, Osram, Cree, or Yee. Zigbee smart bulbs are intended for always on installations.
What you do about that depends on your particular use case. The easiest solution is to add smart light switches, but that does increase cost.