You must have missed something somewhere.
Environment Lighting: Intensity Multiplier should be 0
Environment Reflections: Intensity Multiplier should be 0
Make sure there are no lights in your scene
If none of these work, try creating a new scene. Place only a cube, set these settings and ensure the cube is black.
Now move all your objects into the new scene (easiest done by opening the old scene additively and drag and drop). If this doesn't work, try moving group by group and see at what point there's light.
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