There was an influential blog post years ago documenting the 11 or so ways to shutdown Vista. More than likely someone is reciting the "multiple ways bad" mantra.
I'm surprised UI designers let us shut down our computers at all.
95% of the time for 99% of users, this is perfectly reasonable behavior - unlike wanting to shut off your computer which is a far more useful use-case. For the small remainder (power users), there's InsomniaX .