Do you have the jumpers in the right place for power? I've never seen something quite so wierd happen before - but its probably your motherboard thinking something differently with diefferent operating systems. Just one of those things that have to be put up with
my XP Pro switches the Computer off fine, as did 2000 and Me. Must just be a problem with the Motherboard.
The jumper is the only thing I can think of - but as it automatically switched off in 98 and you changed nothing with XP its probably nothing you can physically change. Hopefully Holocron will find something!