That could be due to a missing value in the system registry. One method for repairing a value registry value when a system is unable to shutdown when the turn off power button is clicked on is:
"Power off at Shutdown
If your computer does not turn off the power when doing a shutdown, you may need to edit the registry. I have all the correct BIOS and Power settings and still needed to do this.
Start Regedit
Go to HKEY_CURRENT_USER\Control Panel\Desktop
Edit the key PowerOffActive and give it a value of 1
You can do the same in HKEY_USERS\.DEFAULT\Control Panel\Desktop"
That was seen on a page show Windows Tips and Tricks found at
Windows XP Tips and Tricks
If this was just noticed in the last day or so using the system restore to go back a day or so before this was first seen may just put that back. These are a few immediate ideas right off. Another thought was a look over at the Window 2003 Registry Guide found free at
WinGuides Network for Windows which offers another registry edit to shut down a system without logging on.
"When this setting is enabled a [Shutdown] button is displayed in authentication dialog box when the system first starts. This allows you to shutdown a system without logging in. The button is shown by default on a workstation and removed on a server installation.
Open your registry and find the key below.
Create a new DWORD value, or modify the existing value called 'ShutdownWithoutLogon' using the settings below.
Exit your registry, you may need to restart or log out of Windows for the change to take effect.
(Default) REG_SZ (value not set)
ShutdownWithoutLogon REG_DWORD "1"
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\policies\sy...
Settings:
System Key: [HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\policies\
system]
Name: ShutdownWithoutLogon
Type: REG_DWORD (DWORD Value)
Value: (0 = disabled, 1 = enabled)
Disclaimer: Modifying the registry can cause serious problems that may require you to reinstall your operating system. We cannot guarantee that problems resulting from modifications to the registry can be solved. Use the information provided at your own risk.
Last Modified: June 11, 2003"