Well, whaddya know! I was able to duplicate the problem to an XP station too!
I had to change my setting in ultravnc.ini as per
About chunkvnc's customization.
Sure enough, when I told the system to shut down, it logged off instead, and left the station at a Ctrl-Alt-Del prompt (I'm on a domain).
Even more interestingly, if I tried the shutdown from the <b>physical station</b> while the VNC session was active, it STILL didn't really shutdown, and instead returned to the login prompt again as above.
Only when no VNC session was in effect could I shut down the station.
I'd say that's a pretty serious bug!
P.S. I encountered the usual UltraVNC weirdness too; after a first failed shutdown/logoff, when reconnecting to the service and logging in again via UVNC ("chunkviewer") the screen display was not being updated at all, except upon manual refreshes.