Are they supposed to be permanently on when the engine is running, i.e. not blinking but always on ?
If so is there a way to change it so they are off ?

Just the front ones. They should be half lit all the time, and fully lit whilst flashing - the flasher relay has 4 separate feeds, the fronts via a zener and bleed resistor no doubt. BB.

You can fit an aftermarket relay and do a bit of custom wiring to sort it out. I posted a howto a while back.

Thanks guys

Yes they are only half lit and flash full power, weird set up

I may in the future attempt to fit an LED relay and led indicators

I believe the theory is they work as a running light, and lets face it, anything that helps Grandpa Clem, spot you over the top of his Rover 25,, steering wheel and, through the fog of his St Bruno fuelled pipe, just has to be a good idea,IMO.
And apologies in advance if that has just described your Granddad
Laying on the floor being in the right still bleeding hurts.
Mike