Well, think about it this way - what happens when you turn an alarm clock off? Does it still wake you up? No. It's not a problem, you are turning the power off, of course the alarm function of the iPhone is not going to go off.
As for the alarms draining the battery (any more than when normally in standby) is a silly notion. That's like saying the clock drains the battery because it continually keeps the time. Don't leave any applications running when you lock it for the night; always go back to the home screen first. My phone usually runs two full days on one charge which includes about 7 hours of usage, but one night after a charge I must have left the stock app open and the battery was at 20% when I got up in the morning.