Server's power supply always on even if it is turned off

This machine (and most server-class computers) have "lights off" management functionality that allows the machine to be managed (to what degree depends on the particular options installed on the machine) even while the machine is "powered off". The power consumption you're seeing is necessary to keep this "lights out" management functionality alive.

I'm not extremely familiar with the HP Compaq server line but I'd doubt that the functionality can be disabled. This type of functionality is one of the reasons why someone would use a server class machine.

If it's bothering you put it on a switchable PDU (power strip, etc) and just turn off the AC when you're not using the box.

It is a server. Meant for running 24/7. Why switching off?