Ah, one of those RF wall switches I guess? (They can really look like they are wired controls, but probably actually RF… they will have an FCC ID on the back 
)
Makes sense. As you no doubt have found, the downside is that asking to “turn off all the lights” will turn on lights that were already off. We’re still dreaming of a future where we could track the commands from the RF remotes too, but that’s still months out and may not work well.
I share your intuition here. (Though I don’t own one of these two-light fans myself. Gotta get me one!)