They do as of version 1.9, which I released three weeks ago. Turning off a scene will turn off the associated group (if it's a GroupScene, which would be a Room or Zone in the current Hue app) or lights (if it's a LightScene from v1 of the Hue app or some third-party apps). It will use the CoCoHue device(s) corresponding to that group or lights if it/they exist(s), otherwise it will turn them off directly via the Hue API, so something should definitely happen regardless of your current setup.
When possible, my recommendation would still be to turn off the group or other device(s) yourself so you know exactly what is happening. The alternative to the implementation I did above would have been simply making scenes button devices with no "on" or "off," just "push." Hue has no concept of "turning off" a scene, so anything I'm doing is really a best-guess as to what users want. (I once wished I would have just made these button devices from the beginning to eliminate the confusion, but having "on" made them more versatile and useful in more apps. It's also what Hue B Smart, somewhat popular on ST and ported to Hubitat, does, so I didn't think this would end up being that big of a deal. But including it and hearing from people made me able to bounce ideas off of them about what they'd expect and I think the end result is better now that it would have been with just that.)
For your rule, I see you have something above that seems to work for you. It doesn't seem to be quite what you were asking in your original post, in which case you may be interested in RM's "Capture" and "Restore" actions (note that all attributes will be captured only if the bulb is on; if it's off, just the "off" state will be captured, and any color/level changes you make when on may surface if you turn the bulb on again in the future after your restore, which will just turn it back off; I helped someone through this--there are workarounds--in a different thread recently). But I might be misunderstanding something. Glad you have something figured out, though!