My first suggestion would be to find out what the line connected to the Empegs switched input is actually doing, is it really staying high after the ignition it turned off, atleast then you will have confirmation that the Empeg is doing the correct thing.

If the line is staying high after the ignition is turned off is it possible that the line they connected to actually feeds something else, a turbo timer or electric water pump for example, in which case they run on after they key whenever the car feels it needs extra cooling?

I have no experience of the WRX, so these are just guesses, but hey, they may help