It has to do with the fact that the "smart" portion of the switch/bulb has to maintain power in order to work and therefore a very small amount of current is passing through the switch leg at all times. This parasitic power is just enough that it can cause some bulbs to remain lit even when the switch is "off". Most incandescent bulbs require more power than this parasitic supply so they don't appear to produce light (although they are still receiving the parasitic power). Because LED bulbs are more power efficient, they can produce light even at these low power levels. I assume most non-dimmable LED bulbs require a higher current amount before producing light than the parasitic power can provide which is why the majority of them won't produce light while "off" , but a dimming LED bulb will because they will produce light at a much lower current level.