That's because the CHOKE fuse does not power the choke light. The CHOKE fuse powers the choke thermostat, via the 2-prong oil pressure switch (OPS). The dash choke light is powered by the GAUGES fuse that feeds the instrument cluster.
When ignition is switched on, 12 volts is supplied to the instrument cluster including the choke light. The choke light 'grounds' through the choke thermostat and remains illuminated as long as the engine isn't running. When the engine starts, oil pressure closes the 2-prong OPS. Consequently, 12 volts from the CHOKE fuse is supplied through the OPS directly to the choke thermostat. Since the dash choke light is also connected to the choke thermostat, 12 volts is supplied to one side of the choke light by the GAUGES fuse while being supplied to the opposite side of the choke light by the CHOKE fuse. Since 12 volts is applied to both sides of the choke light with the engine running, voltage is balanced and the light extinguishes.
Incidentally, the ignition module you use (4-pin vs 5-pin) has no bearing on the function of the choke light. If you remove the GAUGES fuse, the choke light should go out. If you remove the CHOKE fuse, the choke thermostat will take exceedingly long to open, and the choke may not open fully.