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Sounds like you're confusing completed updates for pending updates. Look carefully at the headers in the download section of Steam and note what's queued, for when, and what's been updated.
If you really want to be sure it is shutdown, unplug it.
If your computer is really turned off, it can't download anything.
Depending on your definition of "off" this technology already exists and is common place in smart tvs and current gen consoles among others.
If the device is just on stand-by (which pretty much all devices are unless you cut the power), it will still listen for updates and turns on to download them.
However, Steam has no such function.
I suggest you look into Intel ME. Disabling it is not for light hearted, there is a company that will do it for you tho. :)
Locking windows is not ideal, Logout and Shut down when possible. Lock looses internet access sometimes if you set up you GP. However, your password can be stolen with physical access with just lock. As you are still logged in.