First you need to check that the programming is correct.
If you are using LED lights, the LED may stay on when the channel is off due to a small leakage of current being enough to power the LED. Using a 31LCDA Load Correction Device may resolve this issue.
If you are using Halogen and the channel will not turn off, there may be damage to the electronics on this channel. A qualified electrician or certified CBus integrator can perform a check on this by disconnecting the Live, Neutral, and Earth from the unit, removing the cable for the load on that channel, then with a multimeter check between the Neutral and the suspect channel output. If you see a low resistance the Triac has shorted.
It would be advisable not to use this channel and label it as faulty. The other channels on the dimmer should still be okay to use as normal.