Electrical current leaking from light fixture when off
The answer to the below question is what you're looking for. You'll need a different switch or different bulb for your setup.

Why do my LED lights stay on, even when the switch is off?

Basically to keep that indication light running on your switch, there has to be a path back to the panel. Since you don't wire a neutral in with that switch model, that 'leaked' current has to feed through your load to get back around to the panel. LEDs are sensitive enough to show this occurring. Smart!