Initially pretty much all smart zigbee bulbs did this because they wanted to make sure that if the home automation controller was not working that the light would come on when someone flipped the switch on the wall. The companies were assuming that a power outage would be a rare event and that people would want the switches to work like usual in an emergency.
Since then, some companies have changed things up so that the bulb does remember its last state, but not all the companies have done this.
The Osram lightify bulbs can do it but only when they are connected to their own Gateway. That feature doesn’t work when they are connected to SmartThings.
There is a community member who has created a power management smart app which will turn off smart lights again if they come on after a power outage. This is done by having a “canary” bulb that you don’t expect to ever be on, and if it comes on, you know there was a power outage. Here’s the link to that thread:
There’s no one right answer to the situation. For example, in my case, I have some medical equipment and I like the fact that the bulbs come on bright when there’s been a power outage as there’s likely a number of other things that I need to check at that time. But someone with little kids probably prefers that the lights in the kids’ room stays off. It would be nice if this were configurable, but nobody’s gotten to that point yet in the low-cost systems like SmartThings.