Hmmm, that's odd. When I yank the plug out of the wall, my PC shuts down no matter what shell or OS I'm running. ;)

Seriously though, sometimes a module or application (usually one with a tray icon in my experience) doesn't die gracefully. If you could experiment with manually unloading or terminating various modules and tray apps and then attempting to shut down, you might isolate the culprit. It'd be easier to find a solution once that is known.