There are a few other posts about this topic, one as recent as yesterday I think. I posted one myself maybe 6 months back. But no, it's definitely not good to just turn off your PC that way. I made two different cabs before I figured that out. For me, my MAME default cfg file kept being reset. I suspect it was because it was in use when the PC shut off, and it caused it to get corrupted. Then MAME would create a new one. Then eventually the PC had all sorts of boot up problems due to hard drive corruption. So again, I would not recommend just powering off.
What I did, and many others, is three things.
1. First set up Windows so that when you push the power button, it is set to shut down windows.
2. Extend the PC's power button so that it's a button on the back of the cabinet, or where ever you want it. You can just use a normal push button for this if you want to.
3. Get yourself a smart power strip. These have one "controller" plug. You plug the PC into the controller. When you shut down the PC, the power strip can tell this, and it automatically shuts down all the devices plugged into the other plugs on the power strip. It works out pretty slick.
As for running all your lights and everything else off the same power supply as your computer. I personally tend to avoid this just because my computers don't have an excessively big PSU in them. So I don't want to over tax it, or accidentally short it out some day ruining the computer. I used a real arcade machines power supply from twisted quarter in one machine. I've all used a normal wall wart power plug (if all the volts match and there's only a few things). But that's all personal preference. I understand the desire to want to eliminate extra components. So if you have a power supply you thing is good enough, and you're comfortable with combining the two, the go for it.