Here is the datasheet you can refer to http://www.intel.es/content/dam/www/public/us/en/documents/datasheets/i218-ethernet-connection-datasheet.pdf about the LED. Based on the information therein, believe what you are experiencing is normal. Since the controller does not complete shut down but it stays on ULP in order to detect incoming physical connection so the LED pins stays on active low
Hope this info helps.
Thanks you for your update.
I had previously viewed the datasheet, and I agree that your description of the device staying in ULP when the cable is disconnected is correct.
However, the fact that as you state "the controller does not complete shut down" surely implies that the device should still 'drive' the LEDs according to there definition. The LED is defined as showing that a 100 Mbps or a 1000 Mbps link is present. With no cable connected, there cannot possibly be a 100 Mbps or 1000 Mbps link present, and therefore the LED should NOT be active.
In addition, it makes no sense that when a device enters a ULTRA LOW POWER state, for it then to drive lines ACTIVE, thereby consuming MORE power!
I have marked you answer as the 'Correct Answer' as I believe your description to be correct, event though I believe Intel's design of the device to be flawed.