well, in regards to OP,
Depends really on the wallwart that your using. the older iron core ones usually dont have any capacitors, and output raw fullwave DC.
The newer SMPS style almost always have filter capacitors. (the smaller, lighter solid state wallwarts)
And I did a setup like yours before, Leo.
I was using an old HP lab supply (those old ones with hand drawn PCBs and with filter capacitors) and personally didn't have this happen to me.
I doubt it will be residual charge in the capacitors in my supply would have done it too.
after the bleeder resistor, whatever little charge is left isn't probably enough to even cause the diode to conduct. (or laze for that matter).
So Im not quite too sure why it would glow like that if it werent for those reasons.
EDIT: Here is the PSU I was using. but I didn't note any of this behavior.
Its old yes, but it has a very stable output, and takes anywhere between 200mS - 1S to fully drain its capacitors to a few millivolts after shutoff without a load. (depending on its voltage settings, etc)