Old-style mechanical switches stay where you leave them, but new pedals use transistor switching circuits that may have 'default' conditions designed-in. It seems that one of your pedals is designed to power-up in the active state. If that's how you like it, be happy.

This is not a user-controlled setting, so you're stuck with whatever the manufacturer decided for you. It's always a good idea to take a look at your pedals to see what's happening before you start to play.