I think it has to do with the latest Windows 10 update.
Basically the Shut Down button puts the computer to Sleep instead of shutting it down.
In the Power settings, the shut down button is already set to shutting off, so there is nothing to change there.
So the only way to shut down the computer is to hold the physical power button for 5 secs, because the software just puts it to Sleep and so does pressing the physical power button.
WTF?