Steve,
Mine do the exact same thing and it annoys me to the point that I am just going to get regular thermostats and forgoe the ability to control the thermostats remotely. The thermostat makes my system run for about 15 - 20 minutes AFTER it's already reached the set temperature. I also find them to be highly inaccurate. Sometimes the thermostat says the current temperature is 76 degrees, but the room is freexing and obviously closer to 70 degrees.