Thanks for the info. The voltages I'm seeing on the GROVE connector when powered on, and powered off match with what your StickC is outputting. I have four StickC devices, only one of which cuts power fully to the GROVE connector when powered off. After opening the cases, the one device that behaves differently actually has a different colour PCB (it's a yellow colour, compared to red for the others). The components on the PCB are also different. The red PCB's also have a silk screen logo on them saying M5Stick which is missing from the yellow PCB. Either the yellow PCB, which is behaving differently, is a copy, or it's a different hardware revision. However, all four have the MPU6886 which suggests they are later revisions, but clearly there's different PCB designs, presumably from different factories maybe?
Since I need the GROVE connector to power down when turned off, and I am happy to just have a 3.3v output at that connector, I've snipped the 5v pin to isolate it, then soldered a jumper wire from the 3v3 pin on the PCB to it. I now have 3.3v on the GROVE connector, which also looses power when the device is turned off. It's a bit of a hassle doing this modification, but at least it solves the problem. I hope in future versions, the StickC will disable power to the GROVE connector when powered off, otherwise any attached devices will run down the battery when not in use,