It's all a matter of convention. The square root symbol, $\sqrt z$, always refers to a number whose square is equal to $z$, and, except for $z=0$, there are always two choices. In order to think of $\sqrt z$ as a well defined function, it's necessary to specify which choice is made, and that's a question of convention.
There are two standard conventions, and you can sometimes get in trouble if you don't know which one is being used. In one convention the real part of the square root is always non-negative, and in the other the imaginary part is always non-negative; in both conventions, the square root of a positive real has postive real part while the square root of a negative real number has positive imaginary part.
The OP understands correctly that the "identity" $\sqrt{ab}=\sqrt a\sqrt b$ does not hold in general; forgetting that fact is the underlying cause of all kinds of paradoxical nonsense, such as "proofs" that $1=0$. However, the identity does hold for $a\in\mathbb{R^+}$ (and arbitrary $b$) under both of the standard conventions.
There's nothing aside from common sense to prevent one from inventing some fanciful, idiosyncratic convention such as saying the the square root of an odd negative integer has positive imaginary part while the square root of any other negative real has negative imaginary part. The identity $\sqrt{-25}=5i$ would still hold under such a convention, but we would have $\sqrt{-16}=-4i$ instead. Good luck, though, getting anyone to agree to use this convention.