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Its setup so only root has the option to shutdown.
Go to the control centre and pick System Administration->Login Mananger
Click the Administrator Mode at the bottom and enter the root password.
Now on the tabs at the top select Shutdown, and the first box controls who can shutdown the machine, for Local change it to Everybody. and you'll get the options back. I'd keep root as the only one allowed to shutdown remotely.
Check the main configuration for kde in /etc/kde3/kdm/kdmrc and look for "AllowShutdown=Root" under [X-*-Core]. It may appear more than once, and its confusing the system. Get rid of duplicate entries if they exist. change the value to "AllowShutdown=All".
I don't know for sure, but I think it's because you choose not to start X automatically. because you have to manually start your X session, KDE can't take control of it. Purely a guess, but I think that's right.