I've seen the same behaviour before, it was a firmware issue.
Messing about a while ago I flashed a device with similar but not quite the same firmware as it came with, now it does exactly the same thing, auto reboots when powering off by holding the power button down until the shutdown options appear, apart from that it works fine.

Can you get to the CE Desktop?
If so, using the Shutdown button on the CE Desktop might power it off correctly.
That's how I shut mine down now and it seems to shutdown correctly every time using that method.