Unfortunately, there does seem to be a "shutdown" bug with the Boxee Box (for some users) and you may need to use the power button on the Box to shut it down completely.
You can search the forums on "shutdown" and see if the other posts on the topic help you workaround the issue (there's been some speculation that the Box is busy scanning/identifying local files, etc and so it doesn't shutdown properly, etc).
Note: This is a users' community forum. For official support, submit a Support Request.
You can also find out how to Get Help or read the Boxee TV and Boxee Box Documentation.
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"Some people just aren't happy unless they're disappointed or angry."
Applied factory restore as described in http://support.boxee.tv/entries/328058-factory-restore (its inaccurate since in the latest version the user is presented with several choices and not as described). After restore the SHUTDOWN functionality, works fine. With the latest firmware the problem is back.
This thread (http://forums.boxee.tv/showthread.php?t=57942 ) makes for an unpleasant reading.
I'm not sure if this will help you but somebody on another forum thread says that if you go to the homescreen before shutdown and let all the videos below the buttons load (there are three visible video's but you can scroll right to see the previous nine as well) and then select shutdown, that will shutdown the box correctly.
Since I've never had this issue myself, I can't say if it works, but at least it is easy to check this.
Setting scan to "only once" solved the issue for for me. Again, not a good out of the box experience. Thanks to everyone for the help.
... and the problem is back.