Toys with manual switches or variable dials that click off
are totally off, same as removing batteries. Simple click on / off buttons are manual too.
Toys with electronic controls
have some 'parasitic' battery drain when off. In some devices the drain is significant if you leave it for unused for a long time, in other devices the drain is nearly non existent.
I leave batteries in everything, even in things that might have parasitic drain, as I can't be bothered to constantly remove them.