I had that problem with a new, custom-built rig. I always had to shut down and restart instead of just clicking "restart" in Windows or using the "reset" button on the case, neither of which would restart. My PC would exit Windows okay but wouldn't even get as far as the ASRock splash screen for the return journey in to Windows.
It got very annoying to say the least.
I did at first suspect the PSU but I'm glad I didn't shell out for a replacement because the fix turned out to be a BIOS update from my motherboard manufacturer (ASRock). Restarting and resetting works now.