Simplyred has the right idea.. usualy when you get a BSD on shutdown.. the system is just stuck hanging trying to do some cleanup like disconnecting USB hardware. In certain cases.. external drives power down and if not used for awhile sort of lose their connection with windows. When you try to shut down and haven't "woken up" the external HDD.. windows freaks trying to disconnect it.

Other things will cause this too.. if you have software setup to do things like scan for viruses on shutdown.. or certain program might have an active internet connection and cause windows to freeze..

Since it is just on shutdown (and not power up!).. I wouldn't worry about it too much. Just curious.. do you shut down your PC each day? I haven't shut off my main PC's in months.... they don't use much power and if installed with the correct equipment.. are very quiet too.