Monitor problem

I just recently(3 weeks ago) purchased a 19" Cicero monitor.
Everything's working great with one exception.
Normally when I shut down my computer I just leave my monitor on. I didn't see any problem with this as I know many people that do the same with no concerns.
Last night after I shut down my computer, instead of my monitor just going black like it's always done, it displayed a window that read "Loss of Signal" or something to that effect. The only time I've ever seen this message is when I've done work on my computer and unplugged everything(including the monitor) resulting in the "Loss of Signal" message.
Should I be concerned by this, or should I just start turning it off at night so I don't have to look at the message?

Thanks in advance for your help or suggestions.