I have noticed the same thing on occasion, but I have not yet been able to fully determine the root cause. In my setup, I have a LZW36 Fan+Light dimmer controlling 4 Ilumin bulbs. Sometimes when trying to turn them off, 3 of the bulbs will turn off, and 1 will remain on.
The bulb reports that it has turned off (so my hub thinks it is off), but the bulb remains lit. Attempting to turn the lights on and then back off sometimes resolves the issue, but not often. Holding the dimmer down button (as if I am trying to lower the brightness) and then releasing it will get the light to turn off.
I tried swapping bulbs around to see if it could be a particular bulb, or maybe a particular location. If I unscrew the bulb that has the issue, and the problem eventually moves to a different bulb.
The bulb that experiences the issue always appears to be a bulb that has a lot of commands routed through it. For some reason my hub likes to set up routes through the Ilumin bulbs, even when a direct route should be possible (instead of the hub communicating directly with a switch, it goes hub → Bulb → switch, even if the switch is 6 feet away and the bulb is in another room. I suspect the bulb is receiving too many routed commands at once, but again, I have not been able to confirm anything.
What ended up helping significantly in my own testing was to unscrew the bulbs that are giving me trouble, then performing a zwave network heal. This causes the hub to reassign all routes without the bulbs (because it will not assign routes to nodes it cannot communicate with). Once the network heal is complete I screw the bulbs back in, and everything appears to work.