That’s an option that has to be built into each device, and most zwave manufacturers no longer offer it because it confused people. It also just wouldn’t work with a smart bulb configuration because cutting the power off to the lamp is upstream from the bulb itself. So the option would have to be built into the dumb table lamp, which just isn’t likely.
There are a number of different switches that you can use with smart bulbs and even buttons you can stick onto a table lamp. See the following for some possibilities (this is a clickable link):