Is this a Windows *server* version, or is it one of the newer desktop OS's like Windows 8? Windows 8 seems to shut down rather fast, its quite possible its not bothering to wait for services to exit.
I face this problem in Windows XP and Windows 7 but not all windows XP and Windows 7.
In Windows 8 and Windows Server no problem.
It seems like Windows isn't waiting for the service to exit cleanly before its pulling the plug.
I think so, but I don't know how to solve this problem.