This has being asked before quite a few times. Unfortunatly I'm not on my Mandriva box right now, but I will try to remember the answer.
This happens because you need to turn this feature (automatic shut down) on, by turning ACPI (or similar) on.
Just click: Menu > Configuration > Configure your computer.
On the main configuration program you should look for the setting of the boot or something like that. There you can check a small box that says ACPI. Check it. If I remember correctly it only has effect the next time you boot your computer.
ACPI is a BIOS feature, only available on new (well, not that new) computers, that's probably why it comes set off by default. Also, this is compiled by default on the kernel (but turn on and off is done in the configuration program). If you compiled your own kernel, you need to set support for this.