Hi Rodney,
This is the expected behavior. When a message is deposited there is a minimal amount of post processing that takes place after the depositor disconnects, it is when that is complete that the MWI lamp is lit. Any earlier and the user wouldn't be able to retrieve the message. When a message is deleted, the MWI lamp is not turned off until after the user has disconnected from the voicemail system. Yes, the system is using SIP for the MWI notifications.
Hope this helps explain what you are seeing.
Chris