Open a terminal & see if this command works.
You can also check settings in powermanagement which also controls shutdown, suspend & hibernate.
Another note is that when I was running Ubuntu 10 I had problems with the gnome powerbutton applet, if you right-click on it and select "About Gnome powerbutton applet there is a website that lists the bugs and solutions
My workaround was to create or add shutdown to my menu under "System" but you have to create the command for the new menu item. the 1 that I used was gnome-session-save --shutdown-dialog.