The abililty for a PC to turn it's self off is fairly new, say 1-2 years at a guess. It may well be that the PC in question is not capable of doing it.
That is why the various versions of windows include an 'It is now safe to turn off your PC' message. The message is there for those PC's that can't turn off on their own.
If the PC is asking you to turn it off, it is almost certianly because it is not able to do it for you.
A pain, perhaps, but no more so than most other electric items, that require user intervention to turn off.