RDP and shutdown when queue has finished

I connect to my PC using RDP. I set shutdown when queue finished, and then I logged off. But my PC didn't shut down. The windows warning message was there: "When you shut down this remote PC, you can not turn it on remotely" (or similar like that). Well I know that but I expected WinSCP to do a forced shutdown. Do you know a solution?
(Windows 7)

WinSCP does not do forced shutdown by purpose. And I'm not even sure if forced shutdown would help in this situation.
Will see if more people have a problem with this.

I took a screenshot and attached it: