1) Did you connect the output to load ? If you disconnect from the load and the lights goes off, then you have a wiring problem. Check the installation to find out the wiring method. The output sinks current so the other end of the load must go to the same power supply as the PLC>
2) If without load the output LED still stays on, then you may have damaged the output driver chip ULN2803A. You should be able to find this chip in most electronic component store locally. If not, contact sales@tri-plc.com for replacement part quote. The output are limited to 1A peak and reverse connection to power supply even briefly can damage this output driver.