Why would an RGB LED still glow with only the cathode side connected?
LEDs, like all diodes, have reverse leakage current.
Because of this leakage, with the common anode left open, if one or more of the cathodes is at a positive voltage (that is, the 'off' state) the common anode will bias to some midpoint voltage, which will leak to the diodes that are in the 'on' (cathode grounded) state. This leakage can be enough to make the forward-biased LEDs glow dimly.
Try measuring the unconnected common anode with the cathodes in various states. You will see that it will be some voltage other than GND if one or more of the cathodes is at +V state. Bear in mind however that even measuring that point will change the behavior due to the impedance of the instrument.