We have received a couple of reports of similar issues from other users of Torque (which is a great app, by the way). The problem is rather complicated, involving the PowerSave functionality and the scenarios under which the tool is being used, but the bottom line is that CAN bus communication gets interrupted. Once communication is restored, the lights eventually turn off on their own. Non-CAN vehicles do not seem to be affected.
We will likely publish an update that implements a workaround for this issue next month. In the meantime, you can avoid the problem by unplugging MX prior to starting the engine. I know it's a clunky solution -- sorry. :(