I don't understand why the sequence would start running as the power supply is shut off but not while it is turned on.
Have you:-
- Measured the voltage when the supply is turned on.
- Checked that the ground on your power supply is connected to the ground of the Arduino.
- Have a capacitor across the power supply at the strip power pins.
- Have a series resistor in line with the Arduino data pin.
- Pressed the reset button on the Arduino when everything is powered up.
It could be that the power supply is going into current limit and thus the voltage output is clamped. As you turn it off, the current drops and takes the supply out of current limit and restores sufficient voltage to power the strip briefly while the voltage decays.