The graphic I attached has disappeared, making it hard to make sense of my message.
I have installed the Desktop Shutdown shortcut and that has solved the problem (thanks Brink).
When I go to shut down, I get the above message. If I hit Cancel multiple times the screen eventually goes off, but the computer remains on with hard-drive activity continuing. I have to do a forced shut-down to turn it off.
In Sleep mode everything works properly. I have no drive F: