I would say that if this is a one-time event, then there is nothing to worry about. Basically, Windows writes certain logs during the shutdown process, it "remembers" certain settings, last used files and so on. Sometimes this whole procedure is either incomplete or broken - you could have forced the shutdown yourself or there was a power outage or some app hung at the end - or something else. Then at the next boot up the system will notice that some logs are not in order and report that to you. If you reboot again and it does not happen, then chances are everything is OK. If you reboot again and again and always see this message, or at least you see it often enough to notice, then something is definitely wrong.
Of course, the folks in the Crash section would give you more extended information.