Hiya JJ. I have a theory, but I can't think of a solution though.
LED bulbs I guess?
I've had this once before with ceiling downlights. Your little LEDs take a very small current to light them up. My theory is that you have a case of "Electrical Inductance."
Somewhere within the light fitting, the wires to each bulb cross over one another. This can create a magnetic field which "induces" a current in the wire going to the offending bulb.
Not normally a problem with old-type bulbs that took a bigger current to fire them up. Your bulbs need a minute current to operate.
Not uncommon in cheaper, imported fittings these days, and I can't think of anything to stop it. It's just the way the fitting is made up.
On another point... your brown and blue wires are right, but (I assume the fitting is metal) you should also connect an Earth from the ceiling to the fitting. (Green/Yellow.)
If the fitting should ever "go live", if there is no earth connection and you touch it, there could be no more JJ.
I wish I could be more help.