New
#11
I didn't want to mention this yet as it was worst case scenario for every time I've seen this fixed in the field...
Replace the motherboard. Everything will stay on unless the motherboard specifically tells it's attached components (drives, cards, and psu) to turn off. Everything that needs to be done TO shut down has been done (hence the screen turning blue in this case) but the board isn't giving the command to the addons and the voltage pulse to the PSU.
Do you still have your old CPU? Try swapping it back in and seeing if it works. If it works ok, then your CPU is most likely to blame for your troubles.
Also wouldn't hurt to remove anything non-essential and do a startup-shutdown cycle and see what happens.