I set mine up like I described. In case I want to get into windows, I just tap the windows button and when I see the desktop I CNTRL+ALT+DEL Kill game launcher. Either that or WIN+L to logoff and logon as another user. Messy but it works. Who wants a menu to shutdown? I set it up so a total dumass could turn it on, play a game and shut it off.
PS: GL will hang if you just try to force a shutdown on it. Then you have to press enter to "End Now" and actually shutdown.