This is something I have seen before, you will probably only see it if you are using a directly connected monitor (the shutdown option isn't available from the browser menus), the NVR does shut down when you click this option but it doesn't actually turn off and so the fans will keep spinning, I think if you leave the screen on as you do this after a few minutes it does instruct you to switch the NVR off with the power switch.
It is basically just a safe way of powering down the NVR, rather than just flicking the switch on the back.