Yes, I ran into this during my walk through. My outdoor lights were wired to the same (always on) circuit that was running my carbon monoxide / propane detector. Initially I did have a blown fuse on that circuit. When the dealer 'fixed' the problem, my lights were on 100% of the time... the remote, nor the power switch would turn it off. You have the wrong load, on the wrong circuit. It's a dealer issue to resolve unless you want to tear into stuff under warranty you shouldn't have to mess with. I would just add it took them over an hour to fix it. It would have taken me 10 times longer to re-wire that factory defect.
Your situation may be a 'little' different in the specifics, but it sounds exactly like what I experienced (before I took delivery).
To BuddyRays point however, if you turned those lights on with the 'switch' you cannot turn them off with the remote, you have to use the method that you turned the lights on... to turn them off - but I'm thinking you know that already based on your troubleshooting thus far.
The amber light under the steps is always on with my unit... same with my neighbor that has a different brand, 100K$ 5th wheel. I'm not sure if that is a problem or not honestly.. looking for feedback on that myself. My TT is parked about 20 miles from me right now, the only way I can turn that amber step light off is to disconnect the battery. Sounds like we had / have the same issues.. I removed the bulb from the steps so I woulldn't kill my battery when we were off the grid last week. You could, if desired wire in a switch to that one light.. something I might do.
2016 27BHS Elite
2012 F-150 EcoBoost / Max Tow