As anticipated, while apparently simple, Windows and ACPI shutdown interactions are quite confusing.
- on Windows XP machine you need to enable the "Shutdown: Allow system to be shut down without having to log on" policy (or edit the relative "shutdownwithoutlogon" registry entry) and disable the login screensaver (as per https://support.microsoft.com/en-us/kb/185348)
- on Windows 7/8/10 or 2008R2/2012R2 you need to disable monitor standby/sleep or you need to issue two ACPI shutdown events
Please note that locked console ignores the shutdown event, requiring a manual guest shutdown (or an automatic one initiated via WMI / guest addition / etc)
Happy shutdown to all yours Windows VM :)