My Friend has a (Fiat Punto ELEX, JTD) R Reg. The dash lights Stay on all the time when the key is taken out and the car is locked up.
Ps this doesnt happen everytime. ( Now thats a good one!)

Right - when you say dash lights - that means the side lights are on yes?
When you get out - the 2 rear and 2 tiny fronts remain on?

If so - your flicking the key too far back

As when you insert the key - that Steering lock - Go Clockwise - it goes to ignition then Start
When you come to remove the Key, your going one to far back = Activating Park lights


If the Dipped Headlights remain on, the Hi-Beam stalk might be cause, as you flick that it activates the "get me home lights"

If its just the dash/pod thats remaining on - its going to be a wiring fault probably

ziggy