I think you must be referring to that picture:
Since the M.2 slot can only provide around 7W, the yellow and black wires we see above are certainly helping in raising the power to match the 75W of a regular PCIe slot.
But 75W is not is not enough for an RTX 4060Ti.
The latter is then also getting power from the MeanWell PSU directly, that should be the black wires we see on the bottom right of the picture.
Connecting the PSU to the GPU could lead to the 'always on' problem, but this is not the case with this specific hardware as mentioned earlier in this thread.