This is the same for nearly all smartphones. The phone has to be switched on as the alarm clock is just an app like any other that runs on top of the operating system. You can no more process a video in Windows while your PC is turned off than you can have your alarm clock sound an alarm on an Android phone.
Nokia use a different system. The alarm clock is in hardware and can hence turn the phone on or sound an alarm even if the phone is off. However, you can't replace the alarm clock on Nokias unlike the hundreds that are available on Android.
What most people do is charge their phones over night while switched on. If you're concerned about it disturbing you with calls / emails / texts while asleep then simply put it on silent when you go to bed and plug it in, or use one of the hundreds of apps that can do this automatically.

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Wow, I wish I would have known about this before purchasing my Android. I hope that manufacturers come up with something that allows for the phone to be shut off and have the wake-up alarm work, like my old phone.

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